Summary
The VSTOXX Indices are based on EURO STOXX 50 realtime options prices and are designed to reflect the market expectations of near-term up to long-term volatility by measuring the square root of the implied variance across all options of a given time to expiration. The VSTOXX Indices are part of a consistent family of volatility indices: VSTOXX based on the EURO STOXX 50 and VDAX based on the DAX. In compliance with the ESMA requirements, the components weightings of the VSTOXX index are publicly available here.
Index Guides, Benchmark statement, and other reports are available under the Data tab.
Details
Related research
VSTOXX daily settlement price window expanded to enhance volatility trading
The so-called time-weighted average price (TWAP) period employed in the calculation of the index’s daily settlement level will expand thismonth. The change should help increase liquidity in derivatives tied to VSTOXX.
Ukraine invasion: effect on global stocks and sectors
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VSTOXX futures see increased activity amid market pullback and ahead of French elections
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