The RTS Stock Exchange’s derivatives section, FORTS, is starting trading in cash-settled futures contracts on the Russian Volatility Index. The futures contract’s value is evaluated by multiplying the index value in basis points by $20.
The new futures’ settlement price will be calculated based on the average value of the Russian index for the evening settlement period on the contract’s last trading day. The contract will expire on the trading day seven calendar days prior to the last trading day of the option contract on the nearby RTS Index futures.
Click here for the release from RTS Stock Exchange.