anyone has any idea why VSTOXX Feb 18 futures was not dropping as much?

Discussion in 'Index Futures' started by adamchubb, Oct 17, 2017.

  1. P_20171017_173344_vHDR_On (70%).jpg other expiries have dropped -4 ~ -12% over last 5 days, but the Feb18 expiry stayed mostly flat. does anyone have any idea why is that?
    Last edited: Oct 17, 2017
  2. maxinger


    you mean FVSV7 dropped alot and FVSG8 dropped a little?

    price for further months contract change lesser than nearer month contract.
    volume traded for further months contract lesser than nearer month contract.

    when volume is lot, price movement could be eratic (because not many players).

    quite a typical behaviour.
    Last edited: Oct 17, 2017
  3. just added a chart as above (had problem uploading it due to file size). even Mar18 & Apr18 contracts have dropped more than Feb18.
  4. maxinger


    OK. saw the chart.

    don't expect the drop to be lineaar across various contracts.

    those further months contracts have low volume.
    when volume is low, price movement is erratic (because not many players).

    You might get positive gain like Feb 18 contract.

    anyway FVS contract volume is relatively low compare with other futures.
  5. JackRab


    If I would need to make a guess....

    After January the earnings season begins... and Annual Meetings. So I would say you want to have Feb vol. Also, Jan vols will be the one to sell, since it has the least amount of trading days because of Christmas and New Years Day.

    Maybe someone is gearing up for this already. Not sure if that's the reason for this... but if any, this makes a little bit of sense to me.