Dec 24, 2011

VHSI Futures: HSI Volatility Index Futures to Trade on HKEx

Another exciting development in the world of listed volatility products: Hong-Kong Exchange announced listing of futures on VHSI Index at the end of February 2012. This will bring the number of volatility futures products to 5 adding to VIX in the US, VSTOXX in Europe, RTSVX in Russia, VNKY in Japan that are also being launched next year.

News release with product specifications here, Risk magazine article here.

Two months ago I actually mentioned the possibility of VHSI futures on my blog:  "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"

P.S. See my update on VHSI Futures here


  1. Anonymous12/30/2011

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  2. Anonymous12/31/2011

    OTM options are bounded from 80% [puts] to 120% [calls] of the index level......might as well just trade the 80/120 strangle and the ATM straddle.

    Futures are unlikely to take off with this strike limitation - but not much HSI can do given the lack of 'wing' coverage in their listed options market.