OREANDA-NEWS. May 27, 2011. June 1, 2011 will see the start of trading in cash-settled futures contracts on the Russian Volatility Index at FORTS, the derivatives section of RTS Stock Exchange. The new futures will be available in the trading system under the identification code RTSVX<settlement month>.<settlement year>.

The futures contract’s value is calculated by multiplying the Russian Volatility Index value in basis points by 20 US dollars. The Russian Volatility Index futures is launched together with a new series of RTS Index options. The new futures’ settlement price will be determined based on the average value of the Russian Volatility Index (RTSVX) for the evening settlement period on the contract’s last trading day. It will expire on the trading day 7 calendar days prior to the last trading day of the option contract on the nearby RTS Index futures.

"Volatility derivatives are among the fastest growing most popular contracts in the world because these are useful tools for all sorts of market participants, be it an active trader or an asset manager, an option trader or a small private investor trading stocks. We believe that the volatility index futures will become a sought-after product on the domestic market", says Roman Goryunov, CEO of RTS Stock Exchange.

"A futures on the volatility index is a universal product that can serve the purpose of many strategies: hedging an options portfolio, trading volatility directly, arbitrage, hedging a portfolio of stocks and single-stock futures against the growing market volatility", says Evgeny Serdyukov, Derivatives Market Director at RTS Stock Exchange.

FORTS, the derivatives market of RTS, is the leading trading venue for futures and options in Russia. Trading on FORTS started in September 2001. According to the Futures Industry Association the derivatives market of RTS is among the TOP-10 global derivatives exchanges based on the results of 2010. At present FORTS has the widest range of instruments in Russia. These are 54 contracts (40 futures and 14 options) on RTS Index, RTS Standard Index, shares of Russian companies, short term interest rates, currency, oil, gasoil, power, gold, silver, and sugar.

The Russian Volatility Index (RTSVX) is the first local stock market benchmark that reflects market participants’ speculations regarding the future movements of the RTS Index, and hence, the movement of the Russian stock market as a whole.