Jun 13, 2011

RTSVX Futures Launched

RTS, the leading derivatives exchange in Russian Federation launched trading in futures tied to RTSVX - Russian volatility index. The futures started trading on the June 1st, and the first contract (June) expired last Tuesday. Although it is probably too early to tell, the contract seems to be a success - daily volume is over 100 and open interest in thousands. Press release (engrus).

What is really interesting about the contract is that it is denominated in USD, with one point equals to $20, such that minimal tick 0.05=$1 . Default expiration of the futures contract is seven days before RTS expiration. Contract specifications are available here.

Right now only two months are listed - July and September, but RTS will probably list more based on demand. Because the contracts are denominated in dollars, trading provides an interesting opportunity for statistical trading between RTSVX and VIX ( although with significant execution risk since trading hours don't overlap ) , as well as trading between RTSVX  and VSTOXX futures ( with currency risk between USD and EUR ) My hope is that the success of RTSVX will lead other world exchanges to launch futures on their volatility indexes, such as INVIX futures in India, and XVI / SPAVIX futures in Australia.

More details on RTSVX index calculation methodology are available here (eng, rus).

No comments:

Post a Comment