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STRATEGY INDICES

EURO STOXX 50 Volatility (VSTOXX 150 days)

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Index Description

The VSTOXX indices aim to measure the volatility of the EURO STOXX 50 Index over a future time horizon, as implied by the option contracts available on the Eurex Exchange on that Index. The 8 VSTOXX sub indices cover the actual next 1, 2, 3, 6, 9, 12, 18, 24 month expiries of EURO STOXX 50 option contracts. The 12 VSTOXX main indices cover the time ranges from 30 to 360 days, in increments of 30 days.

Key facts

  • The VSTOXX methodology exploits the whole option strike spectrum to provide as accurate an estimate of implied volatility as possible, in contrast to other models utilizing solely (near) AtM strikes
  • The EURO STOXX 50 options are among the products of Eurex with highest trading volume
  • The VSTOXX indices reflect the skewed/smiling profile of the volatility surface
  • The methodology is based on the non-arbitrage approach used in pricing variance swaps

Descriptive Statistics

Index Market Cap (EUR ) Components (EUR ) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
EURO STOXX 50 Volatility (VSTOXX 150 days) N/A N/A N/A N/A N/A N/A N/A N/A N/A
EURO STOXX 50 N/A N/A N/A N/A N/A N/A N/A N/A N/A

Risk and return figures1

Index returns Return (%) Annualized return (%)
Last month YTD 1Y 3Y 5Y Last month YTD 1Y 3Y 5Y
EURO STOXX 50 Volatility (VSTOXX 150 days) -11.1 7.7 8.2 -35.1 16.1 N/A N/A 8.3 -13.6 3.1
EURO STOXX 50 -0.5 6.3 9.6 18.2 29.7 N/A N/A 9.8 5.8 5.4
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
EURO STOXX 50 Volatility (VSTOXX 150 days) N/A N/A 48.1 54.2 63.8 N/A N/A 0.1 -0.3 0.0
EURO STOXX 50 N/A N/A 13.4 18.0 21.1 N/A N/A 0.4 0.2 0.2
Index to benchmark Correlation Tracking error (%)
EURO STOXX 50 Volatility (VSTOXX 150 days) -0.7 -0.8 -0.8 -0.8 -0.8 54.4 60.9 59.1 70.0 82.4
Index to benchmark Beta Annualized information ratio
EURO STOXX 50 Volatility (VSTOXX 150 days) -1.7 -2.8 -2.7 -2.5 -2.5 -2.7 -0.1 -0.1 -0.5 -0.2

1For information on data calculation, please refer to STOXX calculation reference guide

2Based on EURIBOR1M

(EUR, Price), all data as of November 29, 2024

STRATEGY INDICES

EURO STOXX 50 Volatility (VSTOXX 150 days)

Fundamentals

Index Price/earnings incl. negative Price/earnings excl. negative Price/book Dividend yield (%)3 Price/sales Price/cash flow
Trailing Projected Trailing Projected Trailing Trailing Trailing
EURO STOXX 50 Volatility (VSTOXX 150 days) N/A N/A N/A N/A N/A N/A N/A N/A
EURO STOXX 50 N/A N/A N/A N/A N/A N/A N/A N/A

Performance and annual returns

Methodology

Eight VSTOXX subindices are calculated simultaneously, each reflecting respectively the actual next 1, 2, 3, 6, 9, 12, 18, 24 month expiries of EURO STOXX 50 option contracts on the Eurex Exchange. Each sub-Index is calculated as the fair delivery price of future volatility in a variance swap of the relevant maturity.
To obtain the main VSTOXX indices, i.e. indices with fixed-term maturity ranging from 30 to 360 days, two nearby subindices are interpolated in time.
Volatility is expressed in annualized terms.

Quick Facts

Calculation/distribution 12 VSTOXX indices and 8 subindices are calculated every 5 seconds from 08:50 CET to 17:30 CET
Base value/base date 100 as of 31 Dec. 1991
History Available daily back to Jan. 1999
Inception date Apr. 20, 2005 for VSTOXX (30 days) and Subindices 1 - 8 May 31, 2010 for VSTOXX (60, 90, 120, 150, 180, 210, 240, 270, 300, 330 and 360 days)

CONTACT DETAILS

  • STOXX customer support
  • P +41 43 430 7272
  • customersupport@stoxx.com
  • https://stoxx.com/support/

DISCLAIMER

STOXX, Deutsche Börse Group and their licensors, research partners or data providers do not make any warranties or representations, express or implied, with respect to the timeliness, sequence, accuracy, completeness, currentness, merchantability, quality or fitness for any particular purpose of its index data and exclude any liability in connection therewith. STOXX, Deutsche Börse Group and their licensors, research partners or data providers are not providing investment advice through the publication of indices or in connection therewith. In particular, the inclusion of a company in an index, its weighting, or the exclusion of a company from an index, does not in any way reflect an opinion of STOXX, Deutsche Börse Group or their licensors, research partners or data providers on the merits of that company. Financial instruments based on the STOXX indices, DAX indices or on any other indices supported by STOXX are in no way sponsored, endorsed, sold or promoted by STOXX, Deutsche Börse Group or their licensors, research partners or data providers.

BACKTESTED PERFORMANCE

This document contains index performance data based on backtesting, i.e. calculations of how the index might have performed prior to launch if it had existed using the same index methodology and based on historical constituents. Backtested performance information is purely hypothetical and is provided in this document solely for information purposes. Backtested performance does not represent actual performance and should not be interpreted as an indication of actual performance.

CUSTOMIZATION

The index can be used as a basis for the definition of STOXX Customized Indices, which can be tailored to specific client or mandate needs. STOXX offers a wide range of customization, in terms of component selection, weighting schemes and personalized calculation methodologies.

CONTACT DETAILS

  • STOXX customer support
  • P +41 43 430 7272
  • customersupport@stoxx.com
  • https://stoxx.com/support/

DISCLAIMER

STOXX, Deutsche Börse Group and their licensors, research partners or data providers do not make any warranties or representations, express or implied, with respect to the timeliness, sequence, accuracy, completeness, currentness, merchantability, quality or fitness for any particular purpose of its index data and exclude any liability in connection therewith. STOXX, Deutsche Börse Group and their licensors, research partners or data providers are not providing investment advice through the publication of indices or in connection therewith. In particular, the inclusion of a company in an index, its weighting, or the exclusion of a company from an index, does not in any way reflect an opinion of STOXX, Deutsche Börse Group or their licensors, research partners or data providers on the merits of that company. Financial instruments based on the STOXX indices, DAX indices or on any other indices supported by STOXX are in no way sponsored, endorsed, sold or promoted by STOXX, Deutsche Börse Group or their licensors, research partners or data providers.

BACKTESTED PERFORMANCE

This document contains index performance data based on backtesting, i.e. calculations of how the index might have performed prior to launch if it had existed using the same index methodology and based on historical constituents. Backtested performance information is purely hypothetical and is provided in this document solely for information purposes. Backtested performance does not represent actual performance and should not be interpreted as an indication of actual performance.

CUSTOMIZATION

The index can be used as a basis for the definition of STOXX Customized Indices, which can be tailored to specific client or mandate needs. STOXX offers a wide range of customization, in terms of component selection, weighting schemes and personalized calculation methodologies.