Analysis of the Futures and Options on RTS Index
Feb 14th, 2010 | By admin | Category: News and CommentsFutures on the RTS Index (RIH0): in the morning in the futures (RIH0) we observe contango, MSCs 13-00 to be 800 points; futures decreased by 1% (Fig. 1).
Fig. 1. RTS. Basis in the day.
The number of open positions, compared with the morning opening of the increase in 2000, and at 13-00 Moscow time, the value of this indicator amounted to 362 000 (Fig. 2).
Fig. 2. RTS. Open positions within days.
In the long term the market remains in a dow1000ntrend. Volatility March Putov "outside money" remains above the volatility of the March call "out of money." Thus, the current market we are witnessing "volatility smirk", which signals that the downward trend resumed (Fig. 3).
Fig. 3. RTS. Exchange IV within days.
If we talk about the number of open positions, the maximum number observed in RI105000BO0 (put max, Fig. 4) and RI160000BC0 (call max, Fig. 4) strike, while the absolute values of these strikes do not allow the focus to these levels as in the fully formed. "
Fig. 4. Levels of optional support /resistance.
The most likely scenario: a reduction in the area of 105 000.
Least likely scenario: continuation of growth and renewal of annual maxima.
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