The VSTOXX, ticker V2X, is the volatility index of the euro area equity market. Published by STOXX, it measures the 30-day expected volatility of the EURO STOXX 50 implied by the index options listed on Eurex. It plays the same role for European equities that the VIX plays for the S&P 500.
How it works
The methodology follows the same model-free approach as the VIX. A strip of out-of-the-money EURO STOXX 50 puts and calls is used to compute the fair variance on two expiries, which is interpolated to a constant 30-day horizon and then square-rooted. The index is quoted in volatility points. Eurex lists VSTOXX futures with a contract value of €100 per index point, as well as VSTOXX options. The futures are cash settled on the average of VSTOXX index values between 11:30 and 12:00 CET on the last trading day. That day falls 30 calendar days before the third Friday of the expiry month of the underlying EURO STOXX 50 options, which usually makes it a Wednesday.
Example
Hypothetical: a trader buys 10 VSTOXX futures at 21.00. Two weeks later they trade at 23.50. The gain is 2.50 points × €100 × 10 contracts = €2,500.
On the desk
Liquidity in VSTOXX futures and options is thinner than in the VIX complex, so execution quality matters more. Traders also watch the spread between VSTOXX and VIX: it tends to widen when the stress originates in Europe, as in sovereign or banking episodes.
Educational definition. Worked examples are hypothetical. Not an offer or a recommendation.