Sep 10, 2011

Week in Volatility

Stock indexes tumbled across the world on increasingly negative outlook on European debt crisis and prospects of US recovery. VIX futures rose 4.60 points, and VSTOXX rose 9.70. While VIX at 38 is 10 below its recent high, VSTOXX made a new high. Implied volatility ETNs VXX in the US and VSXX in Europe finished week on new highs as well.

Implied volatility of VIX and VSTOXX was also higher than last week, but still lower than at the highs few weeks ago. VSTOXX long-term implied volatility was lower than last week, but I believe it is simply because of limited liquidity of those options, and does reflect true VSTOXX vol levels.

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