Analysis of the futures and options VTB

Futures on “VTB” (VBH0): futures on OJSC “VTB” in the morning is in the corridor basis 40 - 60 points, to 13-00 Moscow time futures growing up by 1,4% (Fig. 1 ).

Fig. 1. VTB. Basis in the day.

The number of open positions compared with the opening of the morning has not changed, and at 13-00 Moscow time, the value of this indicator amounted to 56300 (Fig. 2).

Fig. 2. VTB. Open positions within days.

In the medium term, the market remains in a downtrend. The volatility of the March Putov “outside money” is lower than the volatility of the March call “out of money.” Thus, the current market, we are witnessing “volatility smirk” (Fig. 3), which indicates that in the short-term opportunity and growth, and decline.

If we talk about the number of open positions, the maximum number remains VB7500BO0 (put max, Fig. 4) and VB6500BC0 (call max, Fig. 4) strike, while the absolute values of these strikes do not allow the focus to these levels as “at full form”.

Fig. 4. Levels of optional support /resistance.

At the current market conditions seen equiprobable possibility of movement both up and down.

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