Options on large variety of assets are traded at Moscow Exchange including very liquid contracts on RTS Index, USD/RUB exchange rate, Brent oil, Russian equities, gold and silver.
On January 26 2017 Moscow Exchange launches trading of weekly options on RTS Index. The Weekly options are identical to monthly and quarterly contracts with augmented short code.
- Theory options price
(doc, 44 Kb)
- Description of the volatility curve estimation algorithm
(pdf, 238 Kb)
- Treatment of expiration risk of options
(pdf, 551 Kb)
- Options exercise process
(pdf, 348 Kb)