What shall be the use of futures on India VIX?
India VIX derivatives can be used to hedge the risk of market volatility. Participants can use India VIX futures for portfolio diversification and for volatility trading.
What is India VIX?
India VIX is India's first volatility index which is a key measure of market expectations of near-term volatility.
How is India VIX computed?
India VIX is computed by NSE based on the order book of NIFTY Options. The best bid-ask quotes of near and next-month NIFTY options contracts which are traded on the F&O segment of NSE are used for computation of India VIX.
What does India VIX signify?
India VIX indicates the investor's perception of the market's volatility in the near term i.e. it depicts the expected market volatility over the next 30 calendar days. Higher the India VIX values, higher the expected volatility and vice-versa.
What is the value of India VIX?
In the year 2013 the India VIX values were in the range of 13 to 32. Since India VIX signifies volatility, the values will be computed upto 4 decimal places as market participants may like to analyse impact on prices due to small changes in volatility.
How India VIX helps investors?
Volatility implies the variation in price of a financial instrument. Thus when the markets are highly volatile, market tends to move steeply up or down and during this time volatility index tends to rise. Volatility index declines when the markets become less volatile. Volatility indices are sometimes also referred to as the Fear Gauge because as the volatility index rises, one should become careful as the markets can move steeply into any direction. Investors use volatility indices to gauge the market volatility and make their investment decisions.
Is India VIX similar to that of market indices like NIFTY?
Volatility Index is different from a market index like NIFTY. NIFTY measures the direction of the market and is computed using the price movement of the underlying stocks whereas India VIX measures the expected volatility and is computed using the order book of the underlying NIFTY options. While Nifty is a number, India VIX is denoted as an annualized percentage.
Can I trade in both Futures and Options on India VIX?
No. Only Futures trading is allowed under India VIX by the exchange.
On which exchanges can I trade on India VIX?
India VIX is a volatility Index provided by National Stock Exchange of India (NSE) and hence you will be able to transact only on NSE.
Where can I view futures contracts for trading in India VIX?
Future contracts enabled for trading in India VIX as underlying, will be displayed on the site when you select contracts either through the 'Place order' link or the Stock list page on www.icicidirect.com.
What is the tick size (minimum movement in price) or the price steps that I can take while trading in derivative contracts on India VIX? What is the minimum lot size for India VIX?
For India VIX the tick size (minimum movement in price) or price steps would be Re. 0.25. and minimum lot size is 750. At the time of introduction, Exchange has specified a minimum contract value of Rs. 10 lakhs. This minimum contract value may change depending on the India VIX movement and contract specification changes made by Exchange from time to time.
What is the Expiry Day for the derivative contracts traded in India VIX?
For the derivative contracts traded with India VIX as the underlying, the expiry day will be every Tuesday of the Week. In case Tuesday is a trading holiday, the previous trading day shall be the expiry/last trading day. All contracts shall expire at the normal market closing time on the expiry day or such other time as decided by Exchange.
What symbol code will I have to enter for trading in India VIX?
For trading in India VIX, you need to enter "INDVIX" when you select contracts through the 'Place order' link.
How many contracts will be enabled for India VIX?
3 weekly contracts will be enabled under India VIX by exchange and I-Sec at its discretion may enable select contracts out of exchange provided list based on the liquidity criteria decided from time to time. New futures contracts shall be introduced for every week, after the expiry of the relevant previous week's contracts.
How is the Contract Price of India VIX Futures quoted?
For ease of trading the India VIX futures price shall be quoted as expected India VIX index value * 100. If trader wants to buy or sell contracts of India VIX futures at 18.1475, then the price to be quoted shall be Rs.1814.75.
What is the impact of 1 tick change on India VIX portfolio?
The underlying India VIX has a tick value of 0.0025 and the futures on India VIX has tick value of 0.25. Using the above example change in 1 tick will have following impact. As it may be seen, change in 1 tick will change value of 1 contract of India VIX futures by Rs.150
What is the settlement mechanism for India VIX futures?
Like other equity derivatives contract, India VIX futures shall be marked-to-market (MTM) on a daily basis. The MTM shall be netted along with other equity derivatives contract at the clearing member level. The contracts shall be cash settled.
What is the settlement price for India VIX futures?
The daily settlement price of India VIX futures shall be the weighted average price for last 30 minutes of the respective futures contract. If the contract does not trade, then theoretical futures price shall be used for computation. The final settlement price will be the closing value of the India VIX index on the expiry day. The closing value of the India VIX index is the average of the index values for last 30 minutes of trading.
What are the charges for trading in India VIX?
Existing brokerage applicable to Futures transactions and applicable statutory charges would be levied on the India VIX transactions depending on the brokerage plan availed by you.
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