RVI futures parameters
Parameters | RVI futures |
---|---|
Contract code | RVI<settlement month>.<settlement year> |
Underlying asset | The underlying contract asset in the Russian Market Volatility which calculation is based on the near-series and the next-series options on the RTS Index futures contract |
The series of option used for calculation of Volatility | The near-series and the next-series options on the RTS Index futures contract |
Option's strikes which are used for settlements | 15 strikes: central 7 strikes put options OTM 7 strikes call options OTM |
Option prices used | Real transactions, Quotations, Theoretical option prices |
Settlement | Monthly at the settlement of the near-series options |
The final settlement price | Based on the next-series options; averaged between 14:03:15 and 18:00:00 on settlement day |
Quotation | In points (as volatility) |
Tick size (min tick value) | 0,05 points (5 USD) |