Deformation of volatility curves of the Russian stock market on the example of margined options on futures contracts on the RTS index

We reassess the Russian stock market behavior in terms of the relationship between risk parameters and return on assets in connection with global structural changes in 2022. The subject of this study is volatility curves calculated from quotes of exchange options on RTS index futures. The purpose of the study is to analyze the relationship between volatility curves and the distribution of returns in 2015–2022, to analyze changes in the structure of this relationship in 2022, to assess the applicability of the GARCH model and to develop new investment and hedge strategies on the Russian stock market. The issue of interpreting the dynamics of volatility curves is disputable however, it was theoretically developed in the theory of valuation of derivative financial instruments. As a result of the study, unrelated structures of the distribution of returns and volatility curves for the RTS composite index were found throughout the entire period concerned, regardless of the presence of external shocks. It is concluded that in the Russian stock market, investors prefer protective options rather than speculative ones, despite the negative asymmetry of the distribution of RTS index returns. And despite the greater weight of positive returns in their distribution in each period under consideration, due to the technical features of the functioning of return indicators, the negative asymmetry of the return distribution does not necessarily correlate with growing volatility curves.