VSTOXX® Monthly Update May 2023

VSTOXX® Futures (FVS) May Update

Trading activity in VSTOXX® Futures cooled off from the very busy February and March. Plus, Easter holidays kept a few market participants at home.

Most active day was 18 April with 68K lots traded.

End clients net sold May and bought June. They also net bought the remaining back months, at much lower scale.

At expiry, they took a larger portion of their long- and short position into expiry. At the end of April, end clients are short Front month and long the back months. The expectations seem no immediate spike in volatility.

The VSTOXX® index moved between 17 and 19 in April and returned to 20 levels now in early May. The term structure further flattened but remains in Contango with 1.7 points between front- and last expiry (it were 2.5 points last month). 

The EURO STOXX 50® index realized 11.68 volatility between March VSTOXX and April EURO STOXX® expiries. Versus a Final Settlement price of the VSTOXX® Futures in March of 22.75, the volatility risk premium was 11.08 vol points. After a negative 4.6 (Feb/ March) and positive 4.59 between Jan and Feb.

Options on VSTOXX® Futures (OVS2) May Update

The options traded also less than in February and March. Most active day was 18 April, too with 67K lots traded.

End clients were net buyers of May 25 Calls and net sellers of June 23 Calls. Overall, they scaled down their positions, but didn’t change the direction of their exposure.

At the end of April, end clients are long Calls in May at 22, 23 and 40 strikes and long the 30 Calls in June. Overall, end clients are net long Calls and net short Puts.

In combination with the futures, end clients don’t seem to expect up-moves in volatility, short term but do have a hedge in place – just in case.

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