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Structured Transactions of Interbank Deposit Spot Rate Volatility

  • Specifications
    UnderlyingCall or Put Option on Average One-Day Interbank Deposit Rate Index Contract (IDI) and the One-Day Interbank Deposit Futures Contract (DI1), in a delta-hedge proportion.
    TickerVID
    Contract size1 contract = 1 option.
    QuotationOption premium in index points.
    Round-lotMultiples of 5 contracts, with not less than 50 contracts.
    Contract monthsAll months.
  • Participation by investor type - 05/2016
    • 8%
      Financial institution
    • 86%
      Institutional investor
    • 2%
      Non-resident
    • 4%
      Natural person
    • 0%
      Others