The VSTOXX®, short for EURO STOXX 50® Volatility index, measures the implied volatility of EURO STOXX 50 index options and hence the implied risk of the broader equity market. It’s known as a gauge of risk aversion or market fear — when the VSTOXX rises, it is said that investors are buying puts to protect portfolios from a downturn.
With several key elections looming in the second-half calendar, what are options prices telling us about investor positioning?
Asset TV caught up with Hamish Seegopaul, Global Head of Index Product Innovation at STOXX; and Zubin Ramdarshan, Head of Equity & Index Product Design at Eurex, to understand just how VSTOXX and its derivatives work. They were joined by Yangyang Hou, Executive Director for Global Quantitative and Derivatives Strategy at JP Morgan, who explained how investors and traders are using VSTOXX futures and options in a market with plenty of sources of potential risk.