Diverging EuroStoxx 50 and S&P 500 volatility dynamics have unlocked attractive opportunities for investors to hedge heightened political risk across the eurozone with low-cost options trades that provide protection against further shocks while locking in positive carry opportunities. The VStoxx index of option implied volatility on the eurozone's blue-chip equity benchmark (SX5E) spiked to more than 40 in response to the UK's June 23 vote to leave the European Union. It has since settled back to around 25 - more than 10 points wide of the VIX index of option implied volatility on the S&P 500 (SPX).
展开▼
