Summary
The EURO STOXX 50 Realized Dispersion Index measures the difference between the market-cap weighted sum of the index constituents’ absolute returns and the absolute index return. The index is reset annually.
Absolute returns serve as a measure for daily realized volatility and the index represents a long position in a series of at-the-money straddles with one day to maturity on the components of the EURO STOXX 50 Index and a short position in at-the-money straddles on the EURO STOXX 50 Index. At-the-money straddles are traditionally used to trade volatility.
Absolute returns serve as a measure for daily realized volatility and the index represents a long position in a series of at-the-money straddles with one day to maturity on the components of the EURO STOXX 50 Index and a short position in at-the-money straddles on the EURO STOXX 50 Index. At-the-money straddles are traditionally used to trade volatility.
Index Guides, Benchmark statement, and other reports are available under the Data tab.
Details
Symbol
SX5EDISP
Calculation
Realtime
Dissemination Period
09:00-18:00 CET
ISIN
CH0502171678
Bloomberg
SX5EDISP INDEX
Last Value
158.14
+0.14 (+0.09%)
As of CET
52 Week Change
-7.66%
Year to Date Change
54.58%
Daily Low
158.03
Daily High
158.84
52 Week Low
100.6 — 19 Dec 2022
52 Week High
215.09 — 16 Dec 2022
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Low
High
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