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RI – “tail wags the dog”


According to its specification, the long RI futures warm-margin is calculated according to the formula (up to a few kopeck roundings):

(RI today in points*KKS-RI yesterday in points*KKV)+RI yesterday in points*(KKV-KKS)

where KKS (-B) is the clearing rate of the evening clearing today (yesterday).

Taking into account the fact that now the RTS index ~ the Moscow exchange index in dollars in the sense that its change in %% to yesterday’s value is equal to:

(current Moscow exchange index*current ruble exchange rate/(Moscow exchange index yesterday*ruble exchange rate yesterday)-1)*100%

the term in the first brackets in the formula for the warm-margin must be equal to the change in the futures on the Moscow Exchange index. Well, (KKV-KKS) is nothing more than a dollar short at clearing rates.

Thus, the change in the logarithm of RI should have a strong positive correlation with a change in the logarithm of MIX and a negative correlation with a change in the logarithm of USDRUBTOM, as well as a correlation close to 1 s (log change in MIX – log change in USDRUBTOM).

We take the logarithm here only to avoid the hassle of scaling the MIX and USDRUBTOM changes when compiling the difference.

What do we get for five minutes today?

RI vs:

MIX 0.77
USDRUBTOM -0.59
MIX-USDRUBTOM 0.91

What is surprising about the given values? This is a significant difference in the absolute values ​​of correlations for MIX and USDRUBTOM. According to the logic of the sum, they should be close in absolute value.

What to do? And let’s replace USDRUBTOM with Si. What will we get?

RI vs:

Si-0.77
MIX-Si 0.96

Oops, everything is strictly with the theory. And what happens? And the fact that our market “evaluates” (KKV-KKS) intraday not by USDRUBTOM, on the basis of which they are calculated according to the rules of the exchange, but by its derivative instrument – Si. It turns out what is in the heading: “the tail wags the dog.”

My profession is a journalist, but my hobby for 8 years has been studying Forex investing and trading. During this time, I managed to gain extensive experience in investing and trading cryptocurrencies and double my capital in the Forex market. To be the author of this magazine, the site owners invited me to participate in one of the 2020 trading webinars, and I will try to reveal the most relevant crypto market news for you.

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