Clear

Featured

Product Overview Daily Options Three-Month Euro STR Futures EURO STOXX 50® Index Futures
Interest Rates
Fixed Income Futures Fixed Income Options STIR Futures & Options Fixed Income High Yield Fixed Income ESG Financing of Futures CTDs
Equity
Equity Options Single Stock Futures Stock Tracking Futures Equity & Basket Total Return Futures
Equity Index
STOXX MSCI FTSE DAX Mini-DAX Micro Product Suite Daily Options Index Total Return Futures ESG Index Derivatives Country Indexes KOSPI
Dividends
Single Stock Dividend Futures Equity Index Dividend Derivatives
Volatility
VSTOXX Variance
ETF & ETC
Equity Index ETF Derivatives Fixed Income ETF Derivatives ETC Derivatives
Cryptocurrency
Commodity
Bloomberg Commodity Derivatives
FX
Listed FX Derivatives Daily USD/KRW Futures
Eurex Repo Market
Special and GC Repo Special Repo GC Repo GC Pooling Repo GC Pooling Baskets HQLAx eTriParty Indices
image-2023-10-23-14-12-02-899
image-2023-10-23-14-12-02-899

Featured

Product Overview Trading calendar Trading hours Production Newsboard Transaction fees
Trading calendar
Trading calendar archive Holiday regulations
Trading hours
Trading phases Trading hours statistics
Production Newsboard
Transaction fees
Participant lists
Exchange Participants Market Maker Futures Market Maker Options ISV & service provider 3rd Party Information Provider Market data vendors Brokers
Exchange membership
Admission requirements Trader admission Clearing licenses
Market-Making and Liquidity provisioning
Eurex EnLight
Eurex Improve
Eurex PLP
Order book trading
Matching principles Strategy trading Order types Order handling Account structure
Eurex T7 Entry Services
Multilateral and Brokerage Functionality Block Trades T7 Entry Service via e-mail Vola Trades Additional contract versions Exchange for Physicals Trade at Index Close Exchange for Swaps Non-disclosure facility
Trading tools
OptionMaster StrategyMaster VarianceCalculator
Margin Calculators
Eurex Clearing Prisma Margin Calculators RBM Calculator
image-2023-10-23-14-12-02-899
image-2023-10-23-14-12-02-899
image-2023-10-23-14-12-02-899
image-2023-10-23-14-12-02-899
Statistics
Market statistics (online) Trading statistics Monthly statistics Eurex Repo statistics Snapshot summary report
Trading files
Product parameter files T7 Entry Service parameters EFS Trades EFP-Fin Trades EFP-Index Trades MiFID2 Commodity Derivatives Instruments Total Return Futures conversion parameters Product and Price Report Variance Futures conversion parameters Suspension Reports Position Limits CFI Codes Best Execution Reports File service agreement Current traded series delta version
Clearing files
Prices Rolling Spot Future Notified Bonds | Deliverable Bonds and Conversion Factors Risk parameters and initial margins Securities margin groups and classes Haircut and adjusted exchange rate
Reference data API
Automatic file downloads
Real-time data
Historical data
Analytics data
image-2023-10-23-14-12-02-899
image-2023-10-23-14-12-02-899
Initiatives & Releases
Cross-Project-Calendar Readiness for projects T7 Release 12.1 T7 Release 12.0 T7 Release 11.1 T7 Release 11.0 Member Section Releases Simulation calendar Archive
Onboarding
Technology
T7 T7 Cloud Simulation Common Report Engine (CRE) Connectivity ISV & Service Provider
Trading Activity
Emergencies & safeguards
Volatility Interruption Functionality
Compliance
Information Channels
Service Status Implementation News Eurex App Circulars & Newsflashes
F7 Trading System
Connectivity Independent Software Vendors Implementation News Simulation Calender F7 General FAQ F7 MiFID II FAQ
image-2023-10-23-14-12-02-899
image-2023-10-23-14-12-02-899
Eurex Rules & Regulations
Corporate actions
Corporate action information Corporate actions procedures Dividend adjustments
Eurex derivatives in the U.S.
Direct market access from the U.S. Eligible options under SEC class No-Action Relief Eligible foreign security futures products under 2009 SEC Order and Commodity Exchange Act
Regulations
MiFID II/MiFIR PRIIPs/KIDs IBOR Reform Capital Markets Union Order-to-Trade Ratio Excessive System Usage Fee
Sanctions
Sanctions regimes Publication of sanctions
image-2023-10-23-14-12-02-899
image-2023-10-23-14-12-02-899

Featured

Product Overview Newsletter Subscription Hotlines
Newsletter Subscription
Circulars & Newsflashes Subscription
Corporate Action Information Subscription
Circulars & Newsflashes
News Center
News Videos Webcasts on demand Events Publications Forms
Derivatives Forum
Derivatives Forum Frankfurt 2024 Derivatives Forum Amsterdam 2023
Contact us
Hotlines Addresses Whistleblowers Eurex Repo Customer Complaints
About us
Eurex Exchange Eurex Clearing Eurex Repo Management Boards Sustainability
Education
E-lectures IFM screencasts System Training
image-2023-10-23-14-12-02-899
image-2023-10-23-14-12-02-899
Deutsch 简体 繁体 한국어

Clear
image-2023-10-23-14-12-02-899
image-2023-10-23-14-12-02-899

Markets

Cryptocurrency
image-2023-10-23-14-12-02-899
image-2023-10-23-14-12-02-899

Featured

Product Overview

Daily Options

Three-Month Euro STR Futures

EURO STOXX 50® Index Futures

Interest Rates

Fixed Income Futures

Fixed Income Options

STIR Futures & Options

Fixed Income High Yield

Fixed Income ESG

Financing of Futures CTDs
image-2023-10-23-14-12-02-899
image-2023-10-23-14-12-02-899

Featured

Product Overview

Daily Options

Three-Month Euro STR Futures

EURO STOXX 50® Index Futures

Equity

Equity Options

Single Stock Futures

Stock Tracking Futures

Equity & Basket Total Return Futures
image-2023-10-23-14-12-02-899
image-2023-10-23-14-12-02-899

Featured

Product Overview

Daily Options

Three-Month Euro STR Futures

EURO STOXX 50® Index Futures

Equity Index

STOXX

MSCI

FTSE

DAX

Mini-DAX

Micro Product Suite

Daily Options

Index Total Return Futures

ESG Index Derivatives

Country Indexes

KOSPI
image-2023-10-23-14-12-02-899
image-2023-10-23-14-12-02-899

Featured

Product Overview

Daily Options

Three-Month Euro STR Futures

EURO STOXX 50® Index Futures

Dividends

Single Stock Dividend Futures

Equity Index Dividend Derivatives
image-2023-10-23-14-12-02-899
image-2023-10-23-14-12-02-899

Featured

Product Overview

Daily Options

Three-Month Euro STR Futures

EURO STOXX 50® Index Futures

Volatility

VSTOXX

Variance
image-2023-10-23-14-12-02-899
image-2023-10-23-14-12-02-899

Featured

Product Overview

Daily Options

Three-Month Euro STR Futures

EURO STOXX 50® Index Futures

ETF & ETC

Equity Index ETF Derivatives

Fixed Income ETF Derivatives

ETC Derivatives
image-2023-10-23-14-12-02-899
image-2023-10-23-14-12-02-899

Featured

Product Overview

Daily Options

Three-Month Euro STR Futures

EURO STOXX 50® Index Futures

Commodity

Bloomberg Commodity Derivatives
image-2023-10-23-14-12-02-899
image-2023-10-23-14-12-02-899

Featured

Product Overview

Daily Options

Three-Month Euro STR Futures

EURO STOXX 50® Index Futures

FX

Listed FX Derivatives

Daily USD/KRW Futures
image-2023-10-23-14-12-02-899
image-2023-10-23-14-12-02-899

Featured

Product Overview

Daily Options

Three-Month Euro STR Futures

EURO STOXX 50® Index Futures

Eurex Repo Market

Special and GC Repo

Special Repo

GC Repo

GC Pooling Repo

GC Pooling Baskets

HQLAx

eTriParty

Indices
image-2023-10-23-14-12-02-899
image-2023-10-23-14-12-02-899

Featured

Product Overview

Daily Options

Three-Month Euro STR Futures

EURO STOXX 50® Index Futures

Trade

Production Newsboard

Transaction fees

Market-Making and Liquidity provisioning

Eurex EnLight

Eurex Improve

Eurex PLP
image-2023-10-23-14-12-02-899
image-2023-10-23-14-12-02-899

Featured

Product Overview

Trading calendar

Trading hours

Production Newsboard

Transaction fees

Trading calendar

Trading calendar archive

Holiday regulations
image-2023-10-23-14-12-02-899
image-2023-10-23-14-12-02-899

Featured

Product Overview

Trading calendar

Trading hours

Production Newsboard

Transaction fees

Trading hours

Trading phases

Trading hours statistics
image-2023-10-23-14-12-02-899
image-2023-10-23-14-12-02-899

Featured

Product Overview

Trading calendar

Trading hours

Production Newsboard

Transaction fees

Participant lists

Exchange Participants

Market Maker Futures

Market Maker Options

ISV & service provider

3rd Party Information Provider

Market data vendors

Brokers
image-2023-10-23-14-12-02-899
image-2023-10-23-14-12-02-899

Featured

Product Overview

Trading calendar

Trading hours

Production Newsboard

Transaction fees

Exchange membership

Admission requirements

Trader admission

Clearing licenses
image-2023-10-23-14-12-02-899
image-2023-10-23-14-12-02-899

Featured

Product Overview

Trading calendar

Trading hours

Production Newsboard

Transaction fees

Order book trading

Matching principles

Strategy trading

Order types

Order handling

Account structure
image-2023-10-23-14-12-02-899
image-2023-10-23-14-12-02-899

Featured

Product Overview

Trading calendar

Trading hours

Production Newsboard

Transaction fees

Eurex T7 Entry Services

Multilateral and Brokerage Functionality

Block Trades

T7 Entry Service via e-mail

Vola Trades

Additional contract versions

Exchange for Physicals

Trade at Index Close

Exchange for Swaps

Non-disclosure facility
image-2023-10-23-14-12-02-899
image-2023-10-23-14-12-02-899

Featured

Product Overview

Trading calendar

Trading hours

Production Newsboard

Transaction fees

Trading tools

OptionMaster

StrategyMaster

VarianceCalculator
image-2023-10-23-14-12-02-899
image-2023-10-23-14-12-02-899

Featured

Product Overview

Trading calendar

Trading hours

Production Newsboard

Transaction fees

Margin Calculators

Eurex Clearing Prisma Margin Calculators

RBM Calculator
image-2023-10-23-14-12-02-899
image-2023-10-23-14-12-02-899

Featured

Product Overview

Trading calendar

Trading hours

Production Newsboard

Transaction fees

Data

Reference data API

Automatic file downloads

Real-time data

Historical data

Analytics data
image-2023-10-23-14-12-02-899
image-2023-10-23-14-12-02-899

Statistics

Market statistics (online)

Trading statistics

Monthly statistics

Eurex Repo statistics

Snapshot summary report
image-2023-10-23-14-12-02-899
image-2023-10-23-14-12-02-899

Trading files

Product parameter files

T7 Entry Service parameters

EFS Trades

EFP-Fin Trades

EFP-Index Trades

MiFID2 Commodity Derivatives Instruments

Total Return Futures conversion parameters

Product and Price Report

Variance Futures conversion parameters

Suspension Reports

Position Limits

CFI Codes

Best Execution Reports

File service agreement

Current traded series delta version
image-2023-10-23-14-12-02-899
image-2023-10-23-14-12-02-899

Clearing files

Prices Rolling Spot Future

Notified Bonds | Deliverable Bonds and Conversion Factors

Risk parameters and initial margins

Securities margin groups and classes

Haircut and adjusted exchange rate
image-2023-10-23-14-12-02-899
image-2023-10-23-14-12-02-899

Support

Onboarding

Trading Activity

Compliance
image-2023-10-23-14-12-02-899
image-2023-10-23-14-12-02-899

Initiatives & Releases

Cross-Project-Calendar

Readiness for projects

T7 Release 12.1

T7 Release 12.0

T7 Release 11.1

T7 Release 11.0

Member Section Releases

Simulation calendar

Archive
image-2023-10-23-14-12-02-899
image-2023-10-23-14-12-02-899

Technology

T7

T7 Cloud Simulation

Common Report Engine (CRE)

Connectivity

ISV & Service Provider
image-2023-10-23-14-12-02-899
image-2023-10-23-14-12-02-899

Emergencies & safeguards

Volatility Interruption Functionality
image-2023-10-23-14-12-02-899
image-2023-10-23-14-12-02-899

Information Channels

Service Status

Implementation News

Eurex App

Circulars & Newsflashes
image-2023-10-23-14-12-02-899
image-2023-10-23-14-12-02-899

F7 Trading System

Connectivity

Independent Software Vendors

Implementation News

Simulation Calender

F7 General FAQ

F7 MiFID II FAQ
image-2023-10-23-14-12-02-899
image-2023-10-23-14-12-02-899

Rules & Regs

Eurex Rules & Regulations
image-2023-10-23-14-12-02-899
image-2023-10-23-14-12-02-899

Corporate actions

Corporate action information

Corporate actions procedures

Dividend adjustments
image-2023-10-23-14-12-02-899
image-2023-10-23-14-12-02-899

Eurex derivatives in the U.S.

Direct market access from the U.S.

Eligible options under SEC class No-Action Relief

Eligible foreign security futures products under 2009 SEC Order and Commodity Exchange Act
image-2023-10-23-14-12-02-899
image-2023-10-23-14-12-02-899

Regulations

MiFID II/MiFIR

PRIIPs/KIDs

IBOR Reform

Capital Markets Union

Order-to-Trade Ratio

Excessive System Usage Fee
image-2023-10-23-14-12-02-899
image-2023-10-23-14-12-02-899

Sanctions

Sanctions regimes

Publication of sanctions
image-2023-10-23-14-12-02-899
image-2023-10-23-14-12-02-899

Find

Newsletter Subscription

Circulars & Newsflashes Subscription

Corporate Action Information Subscription

Circulars & Newsflashes
image-2023-10-23-14-12-02-899
image-2023-10-23-14-12-02-899

Featured

Product Overview

Newsletter Subscription

Hotlines

News Center

News

Videos

Webcasts on demand

Events

Publications

Forms
image-2023-10-23-14-12-02-899
image-2023-10-23-14-12-02-899

Featured

Product Overview

Newsletter Subscription

Hotlines

Derivatives Forum

Derivatives Forum Frankfurt 2024

Derivatives Forum Amsterdam 2023
image-2023-10-23-14-12-02-899
image-2023-10-23-14-12-02-899

Featured

Product Overview

Newsletter Subscription

Hotlines

Contact us

Hotlines

Addresses

Whistleblowers

Eurex Repo Customer Complaints
image-2023-10-23-14-12-02-899
image-2023-10-23-14-12-02-899

Featured

Product Overview

Newsletter Subscription

Hotlines

About us

Eurex Exchange

Eurex Clearing

Eurex Repo

Management Boards

Sustainability
image-2023-10-23-14-12-02-899
image-2023-10-23-14-12-02-899

Featured

Product Overview

Newsletter Subscription

Hotlines

Education

E-lectures

IFM screencasts

System Training
image-2023-10-23-14-12-02-899
image-2023-10-23-14-12-02-899

Featured

Product Overview

Newsletter Subscription

Hotlines
Deutsch 简体 繁体 한국어
中文網站 （繁體）
關於我們 基準商品 交易所會員 交易時間數據 交易費用 所有新聞及產品月報 活動 (主頁）
26 9月 2022

Eurex Asia

【期貨選擇權】VSTOXX® 9月月度報告

VSTOXX® 期貨 (FVS) 9月月度報告

VSTOXX® 期貨的交易活動反映了夏季的假期。 8月15日成交量為8月峰值，當日共成交6.3萬手，持倉量略高於均值。

儘管面臨全球緊張態勢和經濟衰退預期，VSTOXX®期限結構仍然處於升水狀態——近月份合約價格低於遠月份的。

從絕對值的角度看，從上月至今市場波動率沒有太大變化，VSTOXX®期貨成交價圍繞25上下波動（目前交易價約為27）。但EURO STOXX 50®指數較上月攀升了近8%。

此外，終端客戶已大幅減持淨多頭敞口，特別是在近月合約的部分。 10、11月份到期的合約持倉上，終端客戶的淨敞口仍然是淨“多頭”。

EURO STOXX 50®指數在以交易下個月份選擇權合約的波動率的VSTOXX®期貨（7月）和其標的EURO STOXX®選擇權（8月）到期日實現的歷史波動率值為13.27，相較7月份VSTOXX®的最終結算價26.91，代表波動率風險溢價為13.64。這一數值在5和6月份的VSTOXX和標的選擇權合約上的風險溢價值是1.06，而6和7月的風險溢價則為6.94。


VSTOXX® 期貨選擇權（OVS2）九月月報

8月份，VSTOXX®選擇權市場交易並不十分活躍，日均交易量約為7千手。 8月30日成交量為8月峰值，當日共成交23,000手。

終端客戶降低對短期vol的持倉曝險額，但中期則是加倉。他們在8月淨買入看漲選擇權，但在9月則是反向淨賣出看漲選擇權和淨買入看跌選擇權。 11月份到期的合約，他們再次淨買入看漲選擇權。儘管如此，終端客戶整體而言仍然做多波動率。在即月做多看漲，做空看跌（已較前月減倉），在10、11月做多看漲。

做多5萬手的8月份行權價在3570看漲選擇權到期前展倉。

來自亞洲的好消息：

國際化產品
全天候交易

不受時區限制，享受無限交易機會
了解更多信息

About us

Contacts

Follow us

News Services

Eurex Eurex Clearing Eurex Repo Market EEX 360T Xetra Börse Frankfurt Clearstream Qontigo
Disclaimer Privacy notice Imprint Sitemap
© 歐洲期貨交易所法蘭克福公司