What Is VSTOXX?
VSTOXX, officially Euro Stoxx 50 Volatility Index, is the “European VIX” – the most watched European volatility index. It measures implied volatility of near term EuroStoxx 50 options, which are traded on the Eurex exchange.
Euro Stoxx 50 is the most widely followed European equity index, which includes 50 blue chip stocks traded in the Eurozone, such as Volkswagen, Siemens (Germany), Societe Generale (France), ING (Netherlands), or Telefonica (Spain). The index has very liquid futures and options markets.
Calculation of the VSTOXX index is quite similar to calculation of the VIX, although not exactly the same.
Two “sub-indices” are calculated as implied variance from a wide range of eligible options with two different expirations. These two subindices are then interpolated to get constant 30-day maturity.
Besides the 30-day VSTOXX, which is the underlying for VSTOXX futures and options, there are 11 other indices calculated in the same way for different maturities (other multiples of 30 days from 60 to 360). Together these 12 indices provide good overview of the term structure of Euro Stoxx 50 volatility, like the VIX term structure does for S&P 500.
Detailed explanation and formulas are available in the Stoxx Strategy Index Guide.
VSTOXX to VIX Relationship
VSTOXX and VIX often move in the same direction, to similar extent as European and US stocks move together – often, but not always.
Here you can find a short study of VSTOXX and VIX relationship.
VSTOXX Official Information
On this page you can find delayed quotes, charts (from intraday to all-time), and official information about the VSTOXX index:
See particularly the tab “Data”, where you can download a pdf factsheet and guide.
VSTOXX Historical Data
Available history of VSTOXX data starts in 1999. On this page you can find downloadable .txt files with historical data of VSTOXX and other STOXX volatility indices:
Compared to the VIX, the universe of VSTOXX ETNs is much smaller – see overview here.