Sep 1, 2011

Volatility Products For European Investors

There is an interesting article (in German) from Baader about volatility linked structured products available to European investors that I was not aware of. For example UBS issues a performance certificate on their Euro Volatility Arbitrage Index that is tied to performance of VSTOXX index (webpage, product info). From term sheet is looks like a variance swap with some adjustments. Another product mentioned is SGI Vol Premium (webpage, product info) which is also a var-swap but based on VIX index. Both products had losses in the recent volatility spike, but otherwise performed similar to other short-gamma strategies indexes like CBOE VIX Premium Strategy Index, CBOE Capped VIX Premium Strategy Index, or CBOE S&P 500 VARB-X Index.

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