May 12, 2026
Eurex
Focus on VSTOXX® Derivatives: April 2026 Recap
- European markets strengthened markedly in April, although they lagged peers in Asia and the U.S., STOXX® Europe 600 rose by 4.83 percent, EURO STOXX 50® gained 5.6 percent, and the DAX® led the way with a 7.1 percent gain.
- With markets rising rapidly, but global uncertainty still the backdrop, implied volatility declined over the course of April, though not back to levels seen at the start of the year. Most noticeably, implied volatility atypically ended April below realized volatility.
- Skew declined over the course of the month, with investors potentially unwinding hedges amid strong market conditions. By the end of April, skew levels were near the lows of the past six months.
- Implied correlation fell sharply over the course of April but ended the month above the lowest levels observed. At the lows in early April, implied correlation reached levels only seen during the holiday trading season at year-end.
Equity Index Volatility
EURO STOXX 50® implied volatility entered the month above 30 and hit a low of 14.24 at the April expiration. It climbed to end the month at 20.95, driven perhaps largely by realized volatility, which did not fall as quickly and ended the month at 23.74. DAX® implied volatility showed a similar pattern, moving from 29.43 to 13.83 before settling at 20.75, a discount to realized volatility at 24.83. STOXX® Europe 600 implied volatility halved from 25.54 to 12.77 but closed at 17.73 versus realized volatility at 20.3. Implied volatility trading at a discount to realized volatility is not the market norm but may reflect the unwind of put option hedges over the course of the month.
VSTOXX Index Performance
VSTOXX® showed a similar pattern to equity index volatility, starting the month near the highest levels of the past six months at 28.3, before falling to the monthly low around the mid-month expiration at 20.05. It then edged higher to close the month at 21.65, a slight discount to SX5E Index realized volatility of 23.74.
STOXX Europe 600 Index Skew
Skew declined alongside the market and may have been driven by the unwind of put option protection. Entering April, skew stood at 6.9 volatility points, already well below the highest levels seen in early March at the start of the conflict in the Middle East. By the end of April, it fell by a further volatility point to 5.9, reflecting the relative supply and demand of downside versus upside options in the market.
Correlation
We may see the clearest indication of investors selling index protection in the sharp decline in implied correlation from 44 percent to 21 percent in the first half of April, reflecting the relative fall in index volatility versus average single-name volatility. It then rallied by the end of April to 31 percent, roughly the average of the past year.
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