Happy New 2015 to volatility traders everywhere!
I have updated Expiration Calendar with expiration dates for all listed volatility futures in the world. What is new since the last update? Well, several things:
1 - Eurex added Variance Futures on Eurostoxx 50 Index (EVAR). Cannot say I'm excited about the product - CBOE tried to list variance futures twice without success.
2 - India VIX, weekly expirations on Tuesdays, 3 contracts listed at the time. Not sure who decided that NSE India needs weekly volatility contracts, instead of regular monthly contracts, like everything else on the exchange.
3 - Australia VIX, sadly the product did not attract much volume either. If I understand correctly, exchange's expiration calendar does not include expiration dates for AVIX, and I calculated them myself.
4 - Korea. After years of teasing, KRX finally listed VKOSPI futures last November. Volume is still low, but I hope that some of the KOSPI options liquidity will spill over to VKOSPI. Overall KRX seems to be on the product expansion mode. As FT reported yesterday the exchange "unveiled a 10-point plan to revive trading in Seoul, unveiling measures to relax daily price limits in its stock markets, introduce market making schemes for illiquid stocks and exempt derivatives market makers from a local transactions tax."
Weekly market report
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Deutsche Bank Currency Volatility Index was developed to provide an implied volatility benchmark for major currency markets. The index is d...
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