Stoxx introduces volatility of volatility V-VSTOXX indices

Oct 22nd, 2015 | By | Category: ETF and Index News

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Stoxx Limited, a leading European index provider, has launched the V-VSTOXX indices, which are designed to measure the expected volatility of the EURO STOXX 50 volatility.

Stoxx introduce volatility of volatility V-VSTOXX indices

Hartmut Graf, chief executive officer of 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, a leading Blue-chip index for the Eurozone.

Implied volatility is a forward looking measure which is derived from option prices. As such, it represents the expectations and assumptions of market participants. Through these indices investors can ascertain the degree of confidence the market has in its forecast of future values of the volatility. As the indices are based on the prices of traded options they could serve as underlyings for financial products such as exchange-traded products and structured products.

“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 of Stoxx Limited.

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 seven V-VSTOXX main indices cover fixed times to maturity of 30 to 210 days, in 30-day increments, while the eight V-VSTOXX sub-indices cover the actual next 1, 2, 3, 4, 5, 6, 7, 8-month expiries of VSTOXX options contracts.

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