May 22, 2011

VSTOXX Derivatives Growth

Eurex introduced VSTOXX futures and options (in their new incarnation) last June. Since it has been almost a year, I decided to look at the growth of volume and open interest on VSTOXX derivatives. Left axis for open interest, right axis for volume.




VSTOXX open interest has interesting V-shaped pattern - I think what happened is that a trader initiated a big trade soon after the contracts were listed. Initial data that I have points to a number of statistical / relative arbitrage opportunities, which have since disappeared. Otherwise volume and open interest in both futures and options exhibit consistent and robust growth.

Meanwhile iPath listed two ETFs VSXX(on XETRA and LSE), VSXY(XETRA), VSYG(LSE) - VSTOXX futures tracking ETF denominated in GBP and EUR. VSXX tracks short term futures index (similar to VXX) while VSXY/VSYG track the mid term futures index (similar to VXZ).

EDIT: VSTOXX derivatives were launched in March 2011, however my data set only started in July 2011.

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