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VSTOXX® Futures & Options November 2018 Statistics

13 Dec 2018

VSTOXX® Futures & Options November 2018 Statistics

VSTOXX® Futures (FVS) volume in November came in as the 3rd highest all time following the record monthly volume seen in October! Yesterday, VSTOXX® Futures volume was 150,106 contracts which was the 3rd highest daily level YTD after Feb 6th (330,029) and Oct 11 (201,703). Over the past month looking back from today, VSTOXX® (V2X Index) has closed below VIX Index 17 times (including intraday today). On December 4th the spread was -3.53 points, which was the second largest negative value seen in the market over the past 7 months.

General commentary from some prominent VSTOXX® market participants are that the negative economic headlines (Brexit, ECB policy, Italy/EU deficit negotiations, German political instability) are not translating into European volatility as shown by cheap vol of vol. VSTOXX® absolute volatility is low and implied VSTOXX® vol and skew are even lower (approximately 15th percentile over last 2 years). 

Overall, VSTOXX® Futures and options volume growth continues to outpace VIX futures and options volume growth (see chart below). 

VSTOXX® (FVS) term structure (Dec18 – Jul19 maturities) has seen a very interesting move over the past week. Chart below shows a significant move from 1 week ago (green line) to yesterday’s close (orange line)…



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