VSTOXX Archives - CBOE Blogs

  • VIX | French Election | Apr 19, 2017, 4:55 PM

    A Case of Volatility Futures Leading an Index

    A Case of Volatility Futures Leading an Index

    The first round of the French Election occurs this coming weekend and the implied volatility of broad based options in Europe is taking notice.  The European version of VIX is VSTOXX which is based on Euro Stoxx 50 Index options.  Today VSTOXX closed over 24.00 as Euro Stoxx 50 options are pricing in high volatility over the next few weeks in anticipation of the market’s reaction to the French Election.  The VSTOXX futures market also (correctly) anticipated a rise in VSTOXX[...]

  • VIX | Trader Talk | Trade Ideas | French Election | Apr 4, 2017, 3:11 PM

    VIX, VSTOXX, and the French Election

    VIX, VSTOXX, and the French Election

    About a year ago, we were all starting to focus on the Brexit referendum which we ‘knew’ wasn’t going to pass.  There were several lessons from the Brexit experience with the top one being do not discount an election until all the votes are counted.  This played out again in November, but that’s not what this blog is about.  This blog is about how VSTOXX and VIX are behaving in front of the pending French election process.  First, going back to June 2016[...]

  • Weekend Review of VIX Futures and Options - 3/27 - 3/31

    Weekend Review of VIX Futures and Options - 3/27 - 3/31

    The Friday to Friday change in the VIX term structure was as orderly as I’ve seen it in some time.  VIX has had a lower average daily close during a quarter only once, the fourth quarter of 2006.  However, the low to high range for VIX has never been tighter than what we experienced in the first quarter of 2017 with the range of 2.54.  On average the range of closing VIX prices is about 10.60 so the VIX market may be a bit wound up to the point where a big move to the upside[...]