The VSTOXX
The VSTOXX or EURO STOXX 50 Volatility is a class of volatility derivatives serviced by the Eurex Exchange. The VSTOXX Market Index is based on the market prices of a basket of OESX quoted at the money or out of the money. It measures the implied market volatility over the next 30 days on the EURO STOXX 50 Index.
Investors use volatility derivatives for benchmark strategies utilizing the EURO STOXX 50 Index; the nature of its negative correlation with the VSTOXX presents a viable way of avoiding benchmark-rebalancing costs. The statistical nature of volatility allows traders to perform mean-reverting strategies, dispersion trading, and volatility spread trading, among others. Recalculation of the index takes place every 5 seconds. ...
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