Analysis of Futures and Options on RTS index
Aug 18th, 2009 | By admin | Category: News and CommentsFutures on the RTS index (RIU9): bekvordatsiya futures on RTS index (RIU9) since the start of trades increased from (-1500) to (-2500) points at 14:00 Moscow time futures on the new 2% (Figure 1).
Figure 1. RTS. Bazis within days.
The number of open positions, as compared with the opening of the morning rose to 6000 as of 14:00 Moscow time on the value of this indicator amounted to 353 000 (Figure 2).
Figure 2. RTS. Open positions within days.
In the medium term, the market remains in the descending trend. Volatility September putov outside money remain above the volatility of the September call out of money. Thus, at the current market we have seen a volatility smirk that signals the continuation of a downward trend (Fig. 3).
Fig 3. RTS. Exchange IV within days.
If you talk about the number of open positions, the maximum number observed in RI90000U9 (put max, Fig. 4) and RI130000I9 (call max, Fig. 4) Ñтрайках, the absolute values for these Ñтрайках do not focus on these levels as at full form.
Figure 4. Levels optional support /resistance.
The most likely scenario: Samples of 100 000 and the resumption of the downward movement in the area of 90 000.
Least likely scenario: rising to the level of 120 000.
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