Oct 16, 2011

Volatility Derivatives Around The World

The recent document about possible introduction of VXSLV Silver Volatility Futures and Options prompted me to revisit history of listed volatility products. At this time there are only three actively traded volatility products in the world: VIX in the US, VSTOXX in Europe, and RTSVX (usd-denominated!) in Russia.

VSTOXX futures volume has been increasing, however options volume is experiencing some growing pains. Eurex is planning for different ways to boost options volume.

RTSVX volatility futures were listed in the late May 2011, and had a strong start. Unfortunately it seems that trading activity has been falling since the latest economic crisis, probably because some shorts were blown out of their positions when the index rose from 26 to 71 in August (including a heart-attack inducing intraday high of 112 on 8/9, although that was probably just a bad print) No options are planned at this point.

There are few products that are not actively traded, and at this point are set for delisting:
OIV - Nymex Crude Oil volatility derivatives listed on CME. Both futures and options are listed, but there is absolutely no trading activity.
GIV - Comex Gold volatility derivatives, also on CME, also no trading at all.
GVZ - Gold volatility futures are options introduced in April of this year on CBOE, despite a promising début have not traded at all in the last few months.

There are also a few products in the works:
CME has been planning to list two CBOT-based indexes - SIV on soybeans and CIV on corn in the first quarter of 2011, but obviously these have been postponed because of the failure of their other volatility products.
Osaka Securities Exchange announced few weeks ago concrete plans to introduce volatility futures on VNKY Nikkei Volatility Index in the Q1 2012.
Australian Securities Exchange released product specifications and solicited comments from financial community regarding volatility futures and options on ASX 200 VIX Index. According to a private conversation with exchange representative they are looking for committed market makers in the product, in order to insure trading interest and liquidity.
India VIX - NSE started real-time dissemination of their volatility index in July 2010. According to some regulation there was year-long wait period before derivatives could be launched, and since NSE did not announce anything in July 2011 I assume there are no concrete plans for the product.
Hang-Seng Indexes Company announced some technical changes to calculation of VHSI - HSI Volatility Index. I am speculating that there is usually no reason to change index methodology unless the exchange is planning to do something, and it may indicate the first step toward Hong-Kong volatility derivatives.

For a complete list of volatility products and indexes visit Volatility Indexes and ETFs page.

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