Comparative Analysis of Volatility Smile at Russian and American Derivatives Market with Respect to Market Specifics

The problem of low liquidity of the Russian options market causes volatility and frequent changes in the readings of volatility curves that do not reflect the actual market sentiment. The purpose of the study is to find out whether this problem is related solely to market specifics in Russia, or to the use of outdated methodologies in calculating theoretical option prices and in constructing volatility curves. In calculation of the model of dependence of liquidity in the options market on implied volatility, daily trading data of the Moscow Exchange for 2023 on futures-style options on futures on the RTS index and on futures on TATN shares were used. According to the results of the study, it was revealed that the relationship between liquidity and implied volatility is negative, which means that it is necessary to avoid artificially inflated implied volatility (the reason for the inflated values is given in 3.1) in order to build correct volatility curves and improve liquidity. A proposal to improve the curve construction methodology is presented in 3.2.