EFTA Document EFTA01393184

the volatility indexes underlying implied volatility options, there is a risk that there may be a divergence between the exercise settlement value and an indicative value cal- culated at the opening on the date on which the exercise settlement value is being determined. (Please refer to the discussion in Chapter IV under the heading "Variability Indexes" for the definition of the term indicative value and a description of the method that Is used to calculate an exercise settlement value f