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Stoxx introduces new index family that captures implied volatility of vstoxx indices

STOXX Limited, has announced the launch of the V-VSTOXX indices, which measure the implied volatility of the corresponding VSTOXX indices….


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“As markets continue to react to recent geopolitical activity in Europe, it is crucial for investors to be able to accurately gauge the level of uncertainty in the markets and their impact on trading instruments. The V-VSTOXX indices provide deeper insight into the expected near-term volatility of the volatility markets for the Eurozone, which makes them essential tools for investment and trading professionals seeking to manage risks inherent to this asset class,” said Hartmut Graf, chief executive officer, STOXX Limited.

The V-VSTOXX indices aim to measure the implied volatility of the VSTOXX Indices, which in turn are designed to reflect the market expectations of near to long-term volatility of the EURO STOXX 50. The new indices indicate in percentage points the expected volatility for the relevant VSTOXX Index over the coming 30-day period. V-VSTOXX Indices are calculated using a basket of VSTOXX Index options available at Eurex Exchange that are quoted at the money or out the money.

The 7 V-VSTOXX main indices cover fixed times to maturity of 30 to 210 days, in 30-day increments, while the 8 V-VSTOXX sub-indices cover the actual next 1, 2, 3, 4, 5, 6, 7, 8-month expiries of VSTOXX options contracts. Each V-VSTOXX main index is calculated as time-weighted interpolation of the two V-VSTOXX sub-indices whose maturities bracket the fixed time to maturity targeted by the main index. The V-VSTOXX 30 day main index weighs the V-VSTOXX 1 month and V-VSTOXX 2 month sub-indices to yield a constant 30-day measure of the volatility implied by the VSTOXX options. The V-VSTOXX indices are calculated in real-time at five-second intervals.

Source: ETFWorld.co.uk

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