The past three days I have been on loan to the National Stock Exchange of India aiding in their recent launch of futures contracts that are based on the India VIX. The common name for these futures is NVIX. My work involves presentations in New Delhi, Kolkata, and Mumbai. Monday I started out in New Delhi and the result was an extremely enjoyable set of meetings where I spoke for 45 minutes and then fielded questions from the audience. The question and answer session on Monday night ran for over an hour. Tuesday I ran around Kolkata meeting with some proprietary traders and then again held an open forum in the evening. Finally on Wednesday I was in Mumbai and spoke at the offices of the National Stock Exchange of India to almost 200 market participants that are interested in the new VIX futures (NVIX) trading in India.
The India VIX uses the CBOE VIX calculation methodology but applies pricing of options trading on the Nifty 50 stock index. Last year Nifty options were the most actively trading equity index option contract by volume in the world. Needless to say the trading community in India is very sophisticated and the quality of questions I fielded at all the meetings over the last three days offered great evidence of this high level of knowledge about the derivative markets.
Finally, I often have individuals approach me after presentations to run trading approaches by me. I always promise to keep these ideas private, but I can share that I had two individuals approach me with a couple of the more innovative approaches to trading VIX futures that I have ever come across. I will only share that both ideas involved trading options on the Nifty 50 Index in conjunction with taking position in India VIX futures. The equivalent at CBOE would involve an SPX trade in combination with a trade in VIX futures. I was very impressed with some of the approaches to cross trading markets that were propose while I was in India, so much so that I can’t wait to get back to CBOE and doing a little analytical work.
You can learn more about the India VIX at the NSE’s website –