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.
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.
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.
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...
-
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 ...
-
Many investors are looking at VIX and VSTOXX indexes as a leading indicators of volatility in equity markets, however many are confused by t... -
Deutsche Bank Currency Volatility Index was developed to provide an implied volatility benchmark for major currency markets. The index is d...
No comments:
Post a Comment