Hi, I am having a hard time understanding the Vstoxx term structure today. EuroStoxx50 index is down -1.14% and the Vstoxx is up +18% (16.30) The following are the futures: JUL18 15.70 +6.46% AUG18 16.05 +2.90% SEP18 16.40 +2.19% OCT18 16.65 +1.83% NOV18 16.75 +0.90% DEC18 16.40 +0.61% JAN19 17.20 +0.58% So the spot alone is in backwardation and the future term structure is in contango? Is the market just pricing a mean-reversion likely to happen before JUN18/AUG18 expiration? Thanks
you meant V2TX? it is 30-day vol index which calculated from the near term futures you can download the index guide from stoxx website for more info
on a vol spike the front of the curve will rise, making a "smile" the front area easily can be backward, the mid to back contango..its normal...although vstoxx is a bit weird..minimal liquidity. when parts of the curve get out of wack, it takes a long time to resolve compared to vx curve. i traded it for a good yr when vx was dead i think back in 2014. glad i stopped lol. gl