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Moscow Exchange To Launch Calendar Spreads

Date 04/06/2013

The Moscow Exchange is launching a new financial instrument that will allow investors to avoid slippage risk while rolling over futures contacts, and will provide new strategies to trade futures.

On 5 June 2013, calendar spreads for the RTS Index futures and USD/RUB FX futures will become available on the trading system SPECTRA.

A futures calendar spread is a valuable instrument among professional investors trading futures contracts. It implies one transaction where a futures contract of one delivery month is bought and the same futures product of another delivery month is sold.

"According to world statistics, only 2-5% of all exchange-traded contracts are settled with physical delivery at expiration. Over 95% of them are closed out or rolled over to the next term. Calendar spreads will eliminate the slippage risk and provide investors with a fair value when positions are rolled over," said Roman Sulzhyk, Managing Director of the Derivatives Market of the Moscow Exchange.

A calendar spread is applied not only in rollovers, but as an independent instrument with unique market characteristics. "The Moscow Exchange Derivatives Market is a very important segment with average daily volume in excess of USD 9.0 bln. The launch of a calendar spread order book is one of those projects which will allow Moscow Exchange to broaden the range of services offered, as well as trading opportunities provided for market participants such as VTB Capital," added Matthieu Ressencourt, Head of Equity volatility trading at VTB Capital.