Calculation rules for options strategies (UDS)

Product family

The listed derivatives contracts are grouped into families of products, based on each underlying asset. The same price tables will be applied to each family. All contract volumes will be added together to apply reductions by volume.

Calculating the number of legs in the structure

The number of legs is calculated individually for each structure traded via UDS. Separate options (not traded via UDS) have 1 leg.

Calculating ratio

The ratio of each trade is calculated by dividing the number of contracts in the transaction by the lowest quantity of contracts in a trade in the same UDS. The result is rounded off to two decimal places.
The calculation considers all the transactions that simultaneously meet the criteria described in List of documents (link)
The formula of the ratio of each trade is:

Where:

Ratio_i,j = Ratio of trade i of the UDS j;
Q_i,j = number of contracts in trade i of the UDS j.

Calculating legs

The number of legs is calculated by the total ratios of the trades that comprise an UDS. If one or more of the ratios of this UDS is higher than 3, there will be 1 leg.

Where:

Ratio_i,j = Ratio of trade i of the UDS j;
Legs_j = number of legs of the UDS j.

Separate options, not traded via UDS, will always have 1 leg.

Calculating structure factor

Each UDS has a structure factor, which is obtained by multiplying the contract factor and the structure weight, with each contract in the same product family having a contract factor and each transaction having a structure weight defined by the number of legs in the UDS. The final value will be rounded off to two decimal places.

Calculating ADV

The monthly ADV is calculated monthly for each investor, considering all the accounts for the same taxpayer ID (CPF, CNPJ or third block of CVM code) at all the brokerage houses. All accounts linked to a same master account, regardless of the investor, will have their volumes consolidated in the master document linked to it.
In the case of options with a specific fee for an options structure, ADV will be the average of the quantities adjusted by the structure factor, with this calculation also being rounded of to no decimal places.

Where:

ADV_i,jf = ADV of family of products f;
_i = index that denotes each of the products of the same family; ¿=index that denotes each trade;
Q_i = number of contracts traded for each product family on each day of the month;
Structure factor_j = actor for each trade _j.

In its first trading month, the investor is allocated into the first volume tier in the table.

Single fee calculation

Once the ADV of the family of products has been calculated, the next stage will be to calculate the single fee, which is individual to each family. This calculation is made progressively, that is, weighing the values by total transactions in each tier, respecting the limits on the number of contracts for each tier.

Progressive table
Floor	Cap	Tier value	Additional value
D₁	U₁	V₁	A₁
D₂	U₂	V₂	A₂
D₃	U₃	V₃	A₃
...	...	...	...
D_i-1	U_i-1	V_i-1	A_i-1
D_i	U_i	V_i	A_i
D_n	U_n	V_n	A_n

Mathematically, the progressive calculation shall occur as follows:

The additional value of the tier does not come from an additional charge, but from a mathematical mechanism to calculate the average fee:a:

The value of the single fee is rounded off to two decimal places.

Applying the structure factor

Each transaction has a structure factor that must be multiplied by the ADV fee, as calculated in the previous item. The final value will be rounded off to two decimal places.

Applying the day trade reduction

Day trades are entitled to a fee reduction in the form of a percentage directly applied to the single fee calculated as above. The result of the multiplication is rounded to two decimal places.

Exchange fee and registration fee

The exchange fee and registration fee shall be defined by apportionment of the single fee charged to the investor (after application of the factors and reductions, if applicable). The exchange fees are calculated from the application of a percentage of the apportionment on the single fee, rounded off to two decimal places. The registration fee will be calculated as the difference between the single fee and the exchange fees.

The value of the apportionment is 35%.

Exchange fee

The unit cost value of the exchange fee, multiplied by the number of contracts for each executed transaction, rounded off to two decimal places.

Registration fee

The unit cost value of the registration fee, multiplied by the number of contracts in each executed transaction, rounded off to two decimal places.

If the single fee value is BRL0.01, this value will be charged on the registration fee. If the value is more than BRL0.01, both the exchange fees and the registration fee will have a BRL0.01 minimum, regardless of the apportionment.

The values obtained for the exchange fees and registration fee are applied on a per transaction basis.

Settlement fee

Applicable to the listed derivatives, except options and spot, upon position closeout at expiration.

The settlement fee is a value fixed per contract. It shall be multiplied by the number of settled contracts, rounded off to the second decimal place. In the case of physical delivery settlement, the settlement fee is a percentage to be applied to the settled value, rounded off to two decimal places.

Permanence fee

The derivatives contracts of this item are exempted from the permanence fee charge.

Options exercise

The options exercise will be charged as a transaction with the corresponding asset, with one leg.

Calculation Rules for Option Strategies (UDS)