News Center
Mar 02, 2017

Eurex Group

Monthly Report: Eurex records strong volumes in VSTOXX® products

Investors rely strongly on VSTOXX® Derivatives to hedge their exposure to equity and credit markets at Eurex, Europe’s largest derivatives exchange. VSTOXX® is the Europe’s volatility benchmark. It reflects investor sentiment uncertainty by measuring implied volatility of the EURO STOXX 50® Index. In February, the Average Daily Volume reached 119,838 contracts. On a year-to-year basis, Eurex records a plus of 75 percent. On 24 February 2017, Average Daily Volume peaked at 196,096 contracts. Futures and options on VSTOXX® facilitate a cost-effective
way to express a view on European volatility.

“Volatility indexes have a well observed negative correlation with broad equity markets, hence VSTOXX® Futures are utilised to hedge long-only portfolios and to optimise expected returns”, says Zubin Ramdarshan, Head of Product R&D Equity and Index at Eurex. Moving onto some forward-looking events, there is significant positioning ahead of the first round of French elections on 23 April as well as for the Dutch elections on 15 March.

“Also, we see an increasingly frequent implementation of VSTOXX® in conjunction with the US volatility index VIX; enabling market participants to trade the spread between European and US equity market volatility”, Ramdarshan adds. This is driven by investor views on a divergence between central bank policy and the general differing macro-economic climate between the US and the Eurozone.

At the beginning of November last year, Eurex introduced a new market maker programme aimed at enticing larger size to be displayed on the order book. To achieve this, Eurex recalibrated the market maker obligations. This has been a driver of growth and the cornerstone for a positive year-on-year trend for both Average Daily Volume and Open Interest.

Media contacts:

Irmgard Thiessen
Spokesperson for Eurex, Eurex Clearing and Eurex Repo

Mergenthalerallee 61
65760 Eschborn

T +49-(0) 69-2 11-1 59-11

irmgard.thiessen@​deutsche-​boerse.com

Christina Hudelmayer
Spokesperson for Clients, Products & Core Markets division

Mergenthalerallee 61
65760 Eschborn

T +49-(0) 69- 2 11-1 78 54

christina.hudelmayer@deutsche-boerse.com

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