I am curious how VSTOXX compares to VIX could someone who trades it provide some insight. How does it compare to VIX in general, how does it perform during turbulent times, how well do calendar spreads perform. Do you manage Euro exposure. Just any experience with it would be helpful. Also does anyone in US trade VSTOXX options ? I was told by IB that US citizens cannot trade those(futures are allowed). Any other broker in US supports this if anyone knows, I see some articles that they have been allowed in US recently. Thanks.
Our shop trades them both. As you note the futures are CFTC approved and anyone can trade them. Eurex options are not approved in the US. There is a No - Action letter you can get off of the Eurex sight. It requires an affidavit and $100 Million worth to trade them and other SNOs. Liquidity is generally OK to poor depending on stress in the market. All the US institutional brokers have access. Eurex has marketing offices in Chicago and NYC. A good marketing contact is Axel Vischer in Chicago. I'm not aware of any effort to make them available to the US public. I could write a book on why, but suffice it say it's not currently available and I have not seen any filing.
Thanks, well this is what I am referring to: http://www.eurexgroup.com/group-en/...ved-VSTOXX-Options-To-Launch-February/2774230 From what I am reading it says - “We’re opening up the market for all U.S. participants that want to trade the VSTOXX,” The way I understand the index options were limited to institutions, but the futures options are now available for wide public, at least thats how I understood it.
https://www.eurexchange.com/blob/2277578/f77179d52336d388f123a77d15a52a10/data/er15210e.pdf Here is the no action letter - enjoy.
OK to poor? Liquidity in VSTOXX futures is a joke. Today $1.2 million Vega traded in Octobers, total open interest in Vega terms is 12 million. In fact, the lack of liquidity probably makes them perfect for a private size trader. PS. The only way to trade options on VSTOXX is OTC. Been there, done that, got a T-shirt.
A while ago, TFS gave me a polo shirt. There was only one member of the family who was the right fit (XXL):