Eurex Exchange is offering new research tools via its website enabling interested investors to obtain a comprehensive insight into the world of analysis, valuation and trading of volatility derivatives.
The VSTOXX Advanced Services offering is primarily aimed at portfolio managers, proprietary traders, client traders, and brokers, as well as risk managers and institutional investors, all of whom can hedge their portfolios much better with the volatility derivatives listed on Eurex Exchange.
The VSTOXX Advanced Services offer, for example, simulation of volatility-based investments, comprehensive data analysis of the VSTOXX Index and a tool to value VSTOXX derivatives based on freely configurable parameters. Methods and a valuation model are presented in detail in the related documentation. In addition, the valuation methods, the VSTOXX calculation and additional data analyses have been implemented in the Python programming language and can be downloaded for further use.
“More accurate portfolio diversification and optimised investment in European volatility are the main reasons for investing in our futures and options based on the VSTOXX,” says Michael Peters (pictured), member of the Eurex executive board. “With our new services, we offer our clients a broad range of additional beneficial tools and supplementary information that they can use to explore the asset class of VSTOXX derivatives in depth and simulate the outcome of investment decisions.”
On Eurex Exchange, two derivatives are currently tradable on the VSTOXX: VSTOXX Options (OVS) and VSTOXX Futures (FVS), the latter also admitted to trading in the US. The VSTOXX Index is based on the implied volatility of EURO STOXX 50 index options.
In 2013, the average daily volume of futures contracts stands at around 23,500; average options volume is around 11,000 contracts. Open interest equated to over 164,000 futures and close to 160,000 option contracts at the end of May.