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.
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Weekly market report
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John “Hojun” Hwang is the author of VIX, VIX Futures, and VIX ETNs, a conceptual guide to trading the VIX index. He graduated with degrees i...
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Wall st delivered a mixed bag of news with VIX, VNKY, and VSTOXX and their underlying markets almost unchanged. VXD - volatility index based...
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