TAIWAN FUTURES EXCHANGE-Investor Protection-FAQ-Questions Frequently Asked by Traders-Products

Type of contract	Futures transaction tax rate
Equity Index and Equity futures	0.002% of contract value
Gold futures	0.00025% of contract value
FX futures	0.0001% of contract value
Crude oil futures	0.0005% of contract value
Options	1 0.1% of premium 2 For settlement, when an option contract is settled in cash by the difference in value on the expiration date, the tax is calculated by multiplying the market value per contract by the settlement tax rate according to applicable type of futures contract. For example, the tax rate for a stock index options contract is 0.00002.

Please see https://www.taifex.com.tw/file/taifex/eng/eng4/doc/FuturesTax.odt for examples of how futures contracts are taxed.

Please see https://www.taifex.com.tw/file/taifex/eng/eng4/doc/OptionsTax.odt for examples of how options contracts are taxed.

How are theoretical options prices calculated?
Theoretical options prices are usually calculated by using the Black & Scholes European pricing model.

You can calculate theoretical prices by yourself, or visit TAIFEX website. Click “Investor Protection” and select the “Calculating Theoretical Options Price” function (shown below), which is based on the aforementioned options pricing model. Input the six parameters (spot price of the underlying index, strike price, volatility, risk-free interest rate, dividend yield and time to expiration) into the appropriate fields and click on the「 Calculate Theoretical Options Price 」button to calculate the theoretical price.
What is the implied volatility? How to calculate?
The implied volatility is calculated by inputting the market value of options into the theoretical model to capture the market’s view of volatility of the return of the underlying index. Implied volatility is usually calculating by using the Black & Scholes European pricing model. Five parameters (price of the underlying index, strike price, risk-free interest rate, dividend yield and time to expiration) are input into the formula and calculate the implied volatility based on the market value of call or put.

You can calculate implied volatility by yourself, or visit TAIFEX website. Click “Investor Protection” and select the “Calculating Theoretical Options Price” function, which is based on the aforementioned options pricing model. Input the five parameters (price of the underlying index, strike price, risk-free interest rate, dividend yield and time to expiration) into the appropriate fields and click the「 Caluate Implied Volatility」, and a dialog box (shown below) will pop up. Select whether the contract is a call or put, and input the market value of the premium, then click on the 「 Calculate」to obtain a figure for implied volatility based on previous inputs for price of the underlying index, strike price, risk-free interest rate, dividend yield, and time to expiration.
What is the TAIEX Options Volatility Index (TAIWAN VIX)? Where can I get index data?
- The TAIEX Options volatility index is expected annualized volatility, which is calculated using the market prices of TAIEX Options, multiplied by 100. The volatility index shows current expectations in the market regarding future 30-day volatility of the TAIEX Index, thereby providing options traders with one more type of information that they can refer to in deciding upon trading and hedging strategies. Generally speaking, the higher the volatility index, the more volatility traders expect to see in future equity prices, and vice-versa. Because the volatility index reflects the emotional state of traders, it is also known as the investor fear gauge.
- Assume that the TAIEX Index is 10,000 points, the return of the TAIEX Index follows normal distribution. If the volatility index is 10 points, it implies that the future 30-day volatility of the TAIEX Index is 2.886% ( =10÷100÷√12) and in the 95% confidence interval, the future 30-day TAIEX Index is within the range of 10,000 +/- 577 points (=10,000*2.886%*2).
- TAIWAN VIX is published every 15 seconds between 9:00 and 13:45 on every trading day. Traders can access real-time data via TAIFEX Real-Time Snapshot Quotes website (https://mis.taifex.com.tw/). Traders can also access historical data on the TAIFEX website:
  TAIFEX website / Statistics / TAIEX Options Volatility Index Download.
Where can investors obtain information on TOPIX?
TAIFEX has been authorized by the JPX Market Innovation & Research, Inc. to provide real-time information on the underlying TOPIX via TAIFEX Real-Time Snapshot Quotes website (https://mis.taifex.com.tw/ ). Investors may also obtain information via other systems, including Bloomberg (symbol: TPX) and Refinitiv (symbol: .TOPX), or via the TSE’s own website (https://www.jpx.co.jp/english/).
Where can investors obtain information on DJIA Index, S&P 500 Index, Nasdaq-100 Index^® and PHLX Semiconductor Sector^TM Index?

Investors can obtain the information via public financial websites (such as Yahoo Finance< https://finance.yahoo.com/>, The Wall Street Journal< https://www.wsj.com/news/markets/stocks> and CNN Money< https://money.cnn.com/data/markets/?iid=intnledition>, or information vendors, including Bloomberg (DJIA Index symbol: INDU ; S&P 500 Index symbol: SPX; Nasdaq-100 Index^® symbol: NDX; PHLX Semiconductor SectorTM Index symbol: SOX), Refinitiv (DJIA Index symbol: .DJI; S&P 500 Index symbol: .INX; Nasdaq-100 Index^® symbol: .NDX; PHLX Semiconductor SectorTM Index symbol: .SOX), and S&P Dow Jones Indices LLC’s official websites (DJIA Index< https://us.spindices.com/indices/equity/dow-jones-industrial-average >; S&P 500 Index< https://us.spindices.com/indices/equity/sp-500>) and Nasdaq official websites (Nasdaq-100 Index^®< https://indexes.nasdaqomx.com/Index/History/NDX > ; PHLX Semiconductor SectorTM Index < https://indexes.nasdaqomx.com/Index/History/SOX >).
Reminder: The Nasdaq-100 Index^® which includes 100 of the largest domestic and international non-financial companies listed on the Nasdaq Stock Market based on market capitalization is different from Nasdaq Composite Index^® which is commonly reported through the media. Please refer to the Nasdaq official website for the index methodology.
Where can investors obtain information on FTSE^® 100 Index?

Investors can obtain the information via public financial websites (such as Yahoo Finance< https://finance.yahoo.com/>, The Wall Street Journal< https://www.wsj.com/news/markets/stocks> and CNN Money< https://money.cnn.com/data/markets/?iid=intnledition>, or information vendors, including Bloomberg (symbol: UKX), Refinitiv (symbol: .FTSE), and FTSE Russell’s official website(https://www.ftserussell.com/products/indices/uk).