Apr 1, 2014

India VIX

India VIX futures launched little over a month ago (exchange brochure, quotes) , and I am cautiously optimistic. The contract is straight-forward, but expiration dates are unusual - National Stock Exchange of India currently lists three weekly contracts expiring on Tuesdays, e.g. right now available contracts are Apr 1 (just expired), Apr 7 (moved day earlier because of exchange holiday), and Apr 15. Tomorrow NSE will list Apr 22 contract.

I checked bloomberg few hours ago, to follow up on other volatility futures, and here are today's numbers:


Volume Open Interest
VNKY (Nikkei) 232 1091
INVIXN (Nifty) 692 497*
RTSVX (RTS) 0 8
SPAVIX (S&P/ASX 200) 0 N/A
VHSI (HSI) 0 12

Unfortunately, it looks like most of the international volatility futures did not take off. VNKY looks solid, but volume still disappoints. India VIX is still in a honeymoon period; let's hope the volume stays.

* open interest as reported by NSE stands at 372750, but I believe that number is OI * 750 (contract size) I reported adjusted number for consistency.




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