Jul 24, 2010

VSTOXX Futures, VIX Futures

Another mixed week in volatility - VIX Index fell almost 3 points, while VSTOXX rose 1 point. Both stock indexes rose - S&P up 3.5%, and Euro Stoxx up 2.7%.

VIX futures fell uniformly about 2.5 points. Since Jan-11 options were listed after expiration I was trying to place an option spread to against the Jan kink in the curve, but could not get a good price.

VSTOXX futures were all over the place - the index was up, Aug through Nov futures were down, while Dec and Jan were slightly up. I don't have access to Eurex, and don't know if these difference are actionable.

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