Volatility derivatives
The two most popular volatility indexes worldwide are the VIX and VSTOXX, which are available in the United States and Europe respectively. The VSTOXX is based on OESX that trades on the Eurex Exchange. The Eurex Exchange website provides comprehensive information on the VSTOXX sub-indices and historical data, which we can analyze. We begin by understanding the background of these products before performing financial analytics on them in the later sections of this chapter.
STOXX and the Eurex
In the United States, the Dow Jones Industrial Average is one of the most widely watched stock market indexes, created of course by Dow Jones. In Europe, one such company is STOXX Limited.
Formed in 1997, STOXX Limited is headquartered in Zurich, Switzerland and calculates approximately 7,000 indices globally. As an index provider, it develops, maintains, distributes, and markets a comprehensive range of indices that are known to be strictly rule-based and transparent.
STOXX provides...