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.




at
Labels: ,

No comments:

Post a Comment

Subscribe to: Post Comments (Atom)

Weekly market report

Wall st delivered a mixed bag of news with VIX, VNKY, and VSTOXX and their underlying markets almost unchanged. VXD - volatility index based...

  • Simple Trick to Convert Volatility
    As I am sure all of you know Russia has began a full scale war against my home country Ukraine. Please make no mistake - Putin's goal ...
  • Intuitive Understanding Of VIX Formula
    Many investors are looking at VIX and VSTOXX indexes as a leading indicators of volatility in equity markets, however many are confused by t...
  • Weekly market report
    Wall st delivered a mixed bag of news with VIX, VNKY, and VSTOXX and their underlying markets almost unchanged. VXD - volatility index based...