Aug 7, 2010

Week in Volatility

S&P and STOXX were up this week 1.8% and and 1.3% - pretty much non-event except for the roller-coaster on Friday. VIX and VSTOXX futures moved lower by about 0.75 points. Meanwhile I came across this article indicating that prices for long-term vol derivatives are historically very high. If anyone knows where I can get more data on this, please email me.

Like I wrote earlier the term-structure of VSTOXX futures is much flatter than VIX, and I believe it provides an excellent opportunity for relative trade.

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