Checking on New Global Volatility Markets

Over the past few months VIX related trading has expanded globally with the Australia Securities Exchange (ASX) and National Stock Exchange of India (NSE) listing volatility futures contracts.   On October 21, 2013 ASX launched futures trading based on the S&P/ASX 200 VIX (A-VIX) with two consecutive monthly expirations being listed.   Currently A-VIX futures that expire in April and May are on the board.  The closing prices for Wednesday April 2 appear in the table below –

AVIX Quotes

Note the front month April future is practically at parity (actually a slight discount) to the spot  A-VIX Index while the May future is at a two point premium.  This is very similar to the type of pricing we see in the US when volatility is low.  The April contract still has two more weeks until expiration and since that contract is basically priced in line with the index it offers an opportunity get exposure that is very close to implied volatility as indicated by pricing of options on the S&P/ASX 200 Index.  This is true for market participants that are looking to be long or short volatility.

At the National Stock Exchange of India futures were listed on the India VIX where they are using the term NVIX as short hand to describe the index.  NVIX emanates from the underlying option market being options that are listed on the Nifty 50.  NVIX futures expire every week and currently there are three consecutive contracts on the board.  Recent closing pricing for NVIX and the current futures contracts appear in the table below –

NVIX Pricing

You need to move decimal points around to compare the NVIX futures pricing to the index.  The index price is 22.108 with the equivalent futures price being 2210.80.   For example, you can always go the other direction and take the NVIX futures price and divide by 100.  The April 7 contract price is 2394.50 – the equivalent price that offers a comparison to NVIX would be 23.945.  The risk premium in these futures contracts is pretty interesting I am aware there is a national election on the horizon in India, but am not sure if that has any influence on farther dated futures contracts.

Both the ASX and NSE versions of VIX trading are in their infancy.  I think as volatility trading continues to expand globally these two markets will be worth watching for volatility trading opportunities.  If you have more interest in either of these two volatility markets the links below are great places to find a wide variety of information.

ASX – www.asx.com

NSE – www.nseindia.com

Finally, since I’m talking about global volatility, it is probably worth mentioning that the 2014 Risk Management Conference in Europe has been scheduled for September 3 – 5 in County Wicklow, Ireland.  More information about that conference can be found at www.cboermc.com.