Dec 3, 2010

Russian Volatility Index

It is official, yesterday RTS announced (eng, rus) that they will start disseminating the first "official" volatility index based on the Russian options market.

I blogged earlier about Russian VIX here, however at this time ОТКРЫТИЕ removed previous links to the construction of the volatility index, and I could not find any details on the RTS website. I assume that either way the exact methodology will feature two modifications to the VIX algorithm, namely parametric interpolation of the volatility skew to deal with relatively small liquidity in the market, and nonlinear weighting of the months, because expirations are sparse, and do not always bracket 30-day maturity.

RTS stated that they will start disseminating the index on Dec 7th. Bloomberg ticker for the index is RTSVX.

No comments:

Post a Comment