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STRATEGY INDICES

EURO STOXX 50 Volatility (VSTOXX 180 days)

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 180 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 180 days) -10.1 6.5 6.3 -34.3 14.3 N/A N/A 6.4 -13.2 2.8
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 180 days) N/A N/A 42.1 48.5 58.3 N/A N/A 0.0 -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 180 days) -0.7 -0.8 -0.8 -0.8 -0.8 50.3 54.7 53.1 64.2 76.9
Index to benchmark Beta Annualized information ratio
EURO STOXX 50 Volatility (VSTOXX 180 days) -1.6 -2.4 -2.4 -2.2 -2.3 -2.6 -0.1 -0.2 -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 180 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 180 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)