Mastering Python for Finance

Calculating the VSTOXX sub-indices

The VSTOXX data file vstoxx.txt, which we downloaded earlier, consists of eight sub-indexes that represent the calculated volatility index from the EURO STOXX 50 options that expire in 1, 2, 3, 6, 9, 12, 18, and 24 months. The VSTOXX Index represents the volatility outlook for the next 30 days, and it is the option series with the nearest expiry date over the next 30 days that is taken into account for the calculation of the VSTOXX Index.

To help us examine the movement of the VSTOXX Index, we would need to study the movement of its component sub-index. To do so, we would need to refer to the OESX calls and put prices listed in the Eurex Exchange.

Getting the OESX data

The Eurex Exchange website contains the daily ...