VSTOXX® Monthly Update February 2023

VSTOXX® Futures (FVS) February Update

Trading activity in VSTOXX® Futures began 2023 a little slower, 43K on average per day after 47K in December. Most active day was 13 January with 89K lots traded. Open interest remains at lower levels.

End clients remain confident in the markets and maintain the net short position in volatility. Their positioning has flipped from net long to net short during December. Some clients see potential for market moves in March as they have increased their long positions. However, the optimists have also sold some more March futures at the same time.

At the end of January, end clients are net short Feb, net long Mar and net short April Calendar spreads have become increasing popular over the years. A third of the volume in January was traded via spreads. Whereby most of the spreads were Jan vs Feb which suggests the clients seek exposure to the roll down along the EuroStoxx options rem structure. 

Front month volatility fell below the 20 levels. Now between 17 and 18. The term structure is a little flatter but remains in Contango with 3.5 points between front- and last expiry. The spread was at four points last month. The front two further narrowed to 0.9 coming from 1.2 vol points. 

The EURO STOXX 50® Index realized 17.05 volatility between VSTOXX® Futures (December) and EURO STOXX® Index Options (January) expiries. Versus a VSTOXX® final settlement price of 19.79 in December, this implies a volatility risk premium of 2.74 volatility points. The volatility risk premium in the previous period (November/ December/ November) was 5.25 after 10.1 between October and November.

Options on VSTOXX® Futures (OVS2) February Update

Volume in VSTOXX® Options recovered from the low levels in December. Most active day was 17 January with 43K lots. Open interest is also at higher levels now.

End clients maintain a long position to volatility in the options – as opposed to the futures. This position is concentrated on the front month, though. Since January expiry, end clients bought and sold equivalent amounts of Calls and Puts. We cannot observe any change in positioning since then.
 

For more information, please visit the website or contact:

Americas: Eugen Mohr or  T +1 312-544-1084
Europe: Matthew Riley or T +44 (0) 207 8 62-72 13