Part 1 showed the VSTOXX closing above the VIX on 81% of days since 1999. You cannot trade that gap. Neither index trades; their futures do, and they tell a different story.
What you actually trade
- VIX futures on Cboe: $1,000 per index point.
- Mini VIX futures on Cboe: $100 per point.
- VSTOXX futures on Eurex: €100 per point.
The spot gap and the futures gap
From 30 July to 26 October 2026, the spot gap, V2X minus VIX, averaged +1.7 points on daily closes. The same gap on the November futures averaged 0.0.
The reason is the shape of the curves. Over the same three months, the November VIX future averaged 3.3 points above spot. The November VSTOXX future averaged 1.6 points above the V2X. The US term structure was steeper, and that ate the whole headline premium.
Sizing
One VIX future is $1,000 per point. One VSTOXX future is €100 per point, about $112 at a EURUSD of 1.1155 on 27 October 2026. The ratio is about nine VSTOXX futures for one VIX future. A Mini VIX is close to one for one. And one leg is in euros: the position carries currency risk on top of volatility risk.
Settlement
VSTOXX futures settle on the average of the index between 11:30 and 12:00 CET on the last trading day. VIX futures settle on a special opening quotation built from SPX option prices at the US open, 15:30 CET. The two November 2026 contracts both expire on Wednesday 18 November. In May 2027 a US holiday the following month splits them (Juneteenth, observed on Friday 18 June): the VIX expires on Tuesday 18 May, the VSTOXX on Wednesday 19 May.
What the spread says
Long VSTOXX and short VIX is a view that the next shock starts in Europe. Short VSTOXX and long VIX, that it starts in the US. In a global shock, both legs move at once.
What I kept
I read the futures gap, never the headline one. Then I size per volatility point, in one currency, and I check which leg settles first.
For information only. Not an offer or solicitation. Nothing on this site is investment advice or a recommendation.