VSTOXX Market-Maker Interview

VSTOXX options market-maker Ousmane Diop of JPM talks about volatility trading strategies. English or Deutsch.

VSTOXX Futures, VIX Futures

Another mixed week in volatility - VIX Index fell almost 3 points, while VSTOXX rose 1 point. Both stock indexes rose - S&P up 3.5%, and Euro Stoxx up 2.7%.

VIX futures fell uniformly about 2.5 points. Since Jan-11 options were listed after expiration I was trying to place an option spread to against the Jan kink in the curve, but could not get a good price.

VSTOXX futures were all over the place - the index was up, Aug through Nov futures were down, while Dec and Jan were slightly up. I don't have access to Eurex, and don't know if these difference are actionable.

Week in Volatility

Mixed movement in volatility - VIX is up, VSTOXX down. S&P lost 1% for the week - rose 2% to an intraweek high on Tuesday, stayed flat, and declined sharply 3% on Friday, which also was an options expiration day. EURO STOXX 50 lost 1% for the week - is rose steadily for four days, but declined 2% on Friday. World volatility indexes on average rose 1.5 points, or 7%.

This week I have added a graph of VSTOXX futures. It is the first time that I've seen the dynamics of two tradable volatility indexes side by side. The scale on both plots is the same - as you can plainly see that VIX rose pretty much in parallel across all months, VSTOXX index actually declined, while VSTOXX futures rose only moderately. What is interesting is that both contracts have a relatively cheap December volatility. Meanwhile FT Alphaville is predicting the end of the world in October.