ASX VIX Futures Launched

ASX finally launched futures on its volatility index. As I understand the futures were listed yesterday (Monday) but there were no trades. Today (Tuesday) 1 contract traded. Not a great start, but you have to start somewhere ....

I am having a hard time accessing data for the contract. On Bloomberg, the index is SPAVIX  <INDEX> , but the ticker for the futures is AS51VIX <INDEX> . I tried checking the prices just few minutes ago, but there was no data for any of the futures contracts, as if they don't exist. Edit: the current contract is VIA <INDEX> .

Exchange's own website is not much of a help either - futures summary table does not have the data for the VIX contract (futures root VI). I was able to figure out this non-linked page with the data:

S&P/ASX 200 Volatility Index Futures
Expiry Last Bid Ask Volume
Spot12.295
Nov 13 12.4513.10 0
Dec 13 12.00 11.90 12.10 1

The volume in other international volatility contracts on Tuesday was:
RTSVX (Russian volatility index) - 2 contracts
VHSI (Hong-Kong volatility index) - 19 contracts
VNKY (Nikkei volatility index) - 71 contracts



Two pretty good articles on HFT

These articles Jacob Loveless were posted few months ago on ACM (Association for Computing Machinery)  blog, but I just came across them.

Barbarians at the Gateways includes details on specific HTF trading strategy
Online Algorithms in High-frequency Trading provides high-level overview of some mathematics that is used for data analysis

Weekly market report

Wall st delivered a mixed bag of news with VIX, VNKY, and VSTOXX and their underlying markets almost unchanged. VXD - volatility index based...