Vstoxx futures term structure

M

marameo

Hi,

I am having a hard time understanding the Vstoxx term structure today. EuroStoxx50 index is down -1.14% and the Vstoxx is up +18% (16.30)

The following are the futures:

JUL18 15.70 +6.46%
AUG18 16.05 +2.90%
SEP18 16.40 +2.19%
OCT18 16.65 +1.83%
NOV18 16.75 +0.90%
DEC18 16.40 +0.61%
JAN19 17.20 +0.58%

So the spot alone is in backwardation and the future term structure is in contango?

Is the market just pricing a mean-reversion likely to happen before JUN18/AUG18 expiration?

Thanks
 
Last edited:
you meant V2TX? it is 30-day vol index
which calculated from the near term futures

you can download the index guide from stoxx website for more info
 
marameo said:
Hi,

I am having a hard time understanding the Vstoxx term structure today. EuroStoxx50 index is down -1.14% and the Vstoxx is up +18% (16.30)

The following are the futures:

JUL18 15.70 +6.46%
AUG18 16.05 +2.90%
SEP18 16.40 +2.19%
OCT18 16.65 +1.83%
NOV18 16.75 +0.90%
DEC18 16.40 +0.61%
JAN19 17.20 +0.58%

So the spot alone is in backwardation and the future term structure is in contango?

Is the market just pricing a mean-reversion likely to happen before JUN18/AUG18 expiration?

Thanks
More...


on a vol spike the front of the curve will rise, making a "smile" the front area easily can be backward, the mid to back contango..its normal...although vstoxx is a bit weird..minimal liquidity.

when parts of the curve get out of wack, it takes a long time to resolve compared to vx curve. i traded it for a good yr when vx was dead i think back in 2014. glad i stopped lol.

gl
 
sellindexvol66 said:
on a vol spike the front of the curve will rise, making a "smile" the front area easily can be backward, the mid to back contango..its normal...although vstoxx is a bit weird..minimal liquidity.

when parts of the curve get out of wack, it takes a long time to resolve compared to vx curve. i traded it for a good yr when vx was dead i think back in 2014. glad i stopped lol.

gl
More...

Yes you did. Those were the days. It's been too long, how are things brotha?
 
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