Mar 19, 2012

Week In Volatility

Volatility indexes fell around the world, and futures traded comparably lower. In Russia RTSVX fell on post-election non-event, and exchange holiday on the 8-9. Recently listed VHSI futures traded 84 contracts, and VXEWZ traded almost 300. I don't have volume data for VNKY futures, but looking at the term structure it looks like may expiration contract is overpriced compared to others - and this did not go away as the contract settled on Monday at 22.70. Is there an event being priced in the market?










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