Volax future
The Volax Future was a futures contract on the implied volatility of the DAX - option in the money, with a maturity of three months. On January 19, 1998, the Volax Future was introduced on the German futures exchange (today: Eurex ) as the world's first futures contract on implied option volatilities . After around 15,000 contracts traded, trading was stopped again in October 1998 due to the sharp drop in liquidity .
The contract value of the future was 100 DM and was quoted with two decimal places. This resulted in a tick size of 1 DM.
The expiry dates were every third Friday of March, June, September and December.
Six years later, the concept was taken up again in 2004 by the CBOE, which launched futures on the VIX Index ( CBOE Volatility Index ), basically a similar product to the implied option volatility of the S&P 100 . Eurex itself took up the concept again in 2005 with derivatives on the VDAX-NEW , the VSMI and the VSTOXX , which are still actively traded to this day and successfully implement the concept of trading implied volatilities. Obviously, the Volax future was ahead of its time.
Individual evidence
- ↑ Volax Future in the Gabler Wirtschaftslexikon, accessed on June 30, 2012
- ↑ Lars O. Walter: Derivatization, Computerization and Competition: The Development of the German Derivatives ExchangeDTB / Eurex between 1990 and 2001 in the context of the European futures exchanges , 2009.