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Forward Rate Volatility Structured Transaction

  • The product

    The Forward Rate Volatility Structured Transaction (VTF) is a mechanism offered by B3 to trade in a single transaction the Futures and Options on One-Day Interbank Deposit Rate in quantities representing a delta-neutral portfolio. Therefore, the investor is exposed to the volatility of the underlying asset, thus eliminating the execution risk when trading each product in segregated order books.

    The VTF is not a new contract, but rather an execution facilitator for structured transactions. Thus, there are no open interest in VTF, as trades will be automatically segregated into Futures and Options on One-Day Interbank Deposit Rate Contracts.

  • Specifications
    UnderlyingOption on One-Day Interbank Deposit Futures Contract and two contract months of the One-Day Interbank Deposit Futures Contract, in a delta-hedge ratio.
    TickerVF1/ VF2/ VF3/ VF4/ VF5/ VF6/ VF7/ VF8/ VF9.
    QuotationIdentical to Option premium qutoation. Amount expressed in Brazilian Reais (R$) to two decimal places.
    Round-lotMultiples of 5 contracts, with a minimum of 100 contracts.
    Contract monthsSame as the Option maturity, where:

    - Type 1, 2 and 3 options: the first month in any quarter with a DI Futures Contract authorized for trading at B3;

    - Type 4, 5, 6, 7, 8 and 9 options: all months.
  • Benefits
    • Includes a mechanism that allows the volatility trading strategy of One-Day Interbank Deposit Rate
    • Eliminates the execution risk in independent order books by offering in a single transaction, the trading of two products
    • Streamlines trading without the need to calculate the delta-neutral quantity of futures contracts to be traded, since it is automatically calculated by B3