Mar 10, 2026
Eurex
Focus on VSTOXX® Derivatives: February 2026 Recap
European markets were considerably stronger than their global peers in February, with the EURO STOXX 50® returning 3.34%, the DAX Index 3.04%, and the STOXX® Europe 600 3.89%, vs. the MSCI World Index at 0.76% and the S&P 500 at –0.76%.
In spite of strong equity markets, implied volatility stayed relatively constant throughout the month of February, dipping into February expiration but recovering to unchanged by month-end.
Skew continued the pattern of firming this year, closing the month near the highest levels of the last six months, seen in mid‑November and early October.
Implied correlation stayed relatively constant over the month and remains in the lowest quartile over the last year.
Equity Index Volatility
Equity volatility in February fell in the first part of the month, with earnings catalysts passing and the options market navigating the regular options expiration. Strong equity markets added to the pressure on volatility. As geopolitical risk returned in the latter half of the month, implied volatility rose and ended the month basically unchanged. SX5E implied volatility closed February at 15.09, but the spread to realized volatility widened. DAX implied volatility closed at 14.61, in line with realized volatility, which also picked up. Finally, STOXX® Europe 600 implied volatility closed at 12.41, maintaining a three‑volatility‑point premium over subdued realized volatility.
VSTOXX Index Performance
V2X futures traded fairly flat over the course of the month with competing headwinds and tailwinds. The headwinds were strong equity markets, dispersion from earnings moves, and low realized volatility. Tailwinds were the risk‑off tone coming from the U.S. and geopolitical headlines. V2X front‑month futures closed at 20.1, keeping more than an eight‑volatility‑point premium to SX5E realized volatility. The spread between V2X and VIX futures was very volatile as well, with these competing drivers and stories throughout each day.
STOXX Europe 600 Index Skew
STOXX Europe 600 95%-105% skew rose from 7.2 to 8.4 volatility points over the month, continuing the trend of rising from the lows seen during the year‑end holiday period. As equity markets rise, skew is widening, reflecting investor interest in hedging downside exposure and locking in gains for the year.
Correlation
Implied correlation closed February at 0.2358, remaining at or below the 0.23 level throughout the month, which marks the lowest quartile for this measure over the last 12 months. Earnings news remained more dominant than geopolitics in regard to flows, which served to dampen implied correlation. As we exit earnings season, it will be important to watch this metric.
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