09.03.2010
RTS Stock Exchange announces that together with the update of the FORTS trading system that took place on March 7, 2010, a new algorithm for calculation of the volatility curve for options trading on FORTS, the derivatives market of RTS, was implemented.
The Kalman filter algorithm was replaced by a new simplified and resilient algorithm.
This is a scheduled step towards improving the trading technology on the options market and the overall elaboration of the risk management system.
The new algorithm provides for a more accurate calculation of theoretical prices for option contracts, adequate registration of options orders and trades across all the trading series of option contracts, better processing of information during market swings, as well as being more adaptable in volatile markets. In addition this algorithm embodies additional defense mechanisms that limit the impact of orders priced up or down the limit move when building the volatility curve.
"This project is the result of productive joint efforts by a group of RTS specialists and a team of expert risk managers and traders of the options market. The introduced update clears the way for increasing the depth of traded instruments and makes operations with futures-style options more convenient", says Sergey Zamolotskikh, Director of Infrastructure Projects at RTS.
At your request a detailed description of the new algorithm for calculation of the volatility curve will be sent to you. Please, e-mail us at infrastructure@rts.ru.
For further information, please contact the RTS Public Relations Department at +7(495)705-9031.
