Aug 21, 2011

Week in Volatility

World markets continued decline sending volatility indexes higher. VIX rose another 6.69 points which VSTOXX Index had 2.46 point gain since last week. Long-term VIX futures trade at around 30, historically a very high level, showing that elevated volatility is going to stay with us for sometime. Meanwhile Jared Woodard provided an excellent analysis on VIX futures on his blog.

Implied volatilities of VIX and VSTOXX options rose only slightly, which just may be a product of time to expiration. VSTOXX ATM term structure seems relatively flat to the VIX, with Sep and Nov below VIX ATMs, and Jan-12 above VIX ATMs.

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