Volatilitätsfutures auf CME FX / Devisen ab 07.02.11

FX VolContracts - Realized Volatility Futures - Launching February 6th

CME (03.02.11) - CME Group will be launching a set of FX Realized Volatility futures, called FX VolContracts, in major currency pairs, starting with the euro. The EUR/USD 1-month and 3-month Realized Volatility futures will launch on Sunday, February 6 (trade date Monday, February 7).

These are the first futures contracts that offer direct trading of FX volatility, and the first that settle to realized rather than implied volatility. They offer a standardized, listed and transparent means of controlling price risk. In addition, they will provide spread opportunities against CME's listed FX futures and options products.

FX VolContracts will be offered under a license agreement with VolX, which controls a patent on VolContracts. The contracts will be cash-settled to either a 1- or 3-month historical or "realized" volatility calculated by reference to daily price movements in major CME currency futures. The realized volatility calculation is based on a simple standard deviation formula. The contracts are valued at $1,000 x the computed realized volatility for the specific time period.

For additional information and to view contract specs, visit http://www.cmegroup.com/trading/fx/fx-realized-volatility-futures.html

For additional information on CME FX Products, visit http://www.cmegroup.com/trading/fx/index.html

View free real-time prices on CME FX futures and options at http://www.cmegroup.com/equivalents/

(Quelle: CME)