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.
Showing posts with label vix term structure. Show all posts
Showing posts with label vix term structure. Show all posts
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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