Volatility markets rose last week, VIX rose 1.51 from 12.66 to 14.17, VSTOXX gained 2.01 from 18.85 to 20.86. In this report I will focus on CBOE volatility options. VIX is the volume leader; volume in other indexes are four orders of magnitude smaller:
VIX 3,469,078
OVX 594
GVZ 359
VXEEM 339
VXEWZ 20
In comparison VSTOXX options traded 101,626 contracts last week.
As vol options generally have positive skew, when futures rise so does ATM implied volatility. At the same time when futures remain unchanged volatility tends to rise toward expiration. As we will get closer to expiration ATM IV in the front month will tend to about 100%.
I do not provide volatility charts for other futures - the data is too sparse and irregular to make sense. Below is the chart of front month skew for VIX options. Next time I will publish charts for VSTOXX options skews.
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