Since 2005, VSTOXX® has measured expectations of the volatility of the EURO STOXX 50® index — an indispensable gauge of the Eurozone’s “market fear.”
This whitepaper takes a comprehensive and in-depth look at the objective, methodology, coverage and calculation of the VSTOXX indices in the most complete study on the topic from STOXX to date. It also reviews the strategies and available derivatives tracking the main VSTOXX, which have underpinned volatility’s status as a separate asset class.
The authors also explore three unique behavioral characteristics of volatility: its tendencies to revert to the mean, to be negatively correlated with its underlying asset and to cluster in regimes.