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VSTOXX® Futures & Options February 2019 Statistics

Release date: 12 Mar 2019 | Eurex Group

VSTOXX® Futures & Options February 2019 Statistics

The 26th of February was a new daily record for options on VSTOXX® Futures (OVS2)!
518,000 contracts traded on the day!

A market participant executed a large trade to buy protection ahead of European elections. One of the largest sized trades ever in this market (roughly 20-25 million vega) consisted of a May 2019 24-27 call spread financed by a May 2019 put spread. Due to the positive delta of the strategy, bank desks had to hedge their portfolios by buying VSTOXX® May Futures causing the inflation in the May futures level.

As mentioned last month, the EU Elections are set for May 23rd and the uncertainty seems to be a driver for the increase in volumes.
On a Eurex product development note, VSTOXX® Options (OVS2, FVSA Index OMON<Go>) now have a minimum block trade size of 1000 (increased from 500) in efforts to continue to drive liquidity in the orderbook (effective March 4th).


FEBRUARY VOLUME, OPEN INTEREST AND ORDERBOOK RECAP:

TRADE TYPE VOLUME BREAKDOWN FUTURES:

TRADE TYPE VOLUME BREAKDOWN OPTIONS:

TERM STRUCTURE:



VSTOXX® vs VIX: 



 

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