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This article first appeared in EQDerivatives' subscription Commentary & News service.
Investors are looking at shorting VSTOXX®/VIX outperformance puts to collect carry as the spread reaches historical lows in the aftermath of February’s volatility spike.
The spread currently appears negative across maturities, below -1 vol points, said Mathilde Richardot, equity and derivative strategist at BNP Paribas in London. “It’s in the ~15 percentile over one year and below two percentile since 2011 for all tenors,” she said. Investors who expect the VSTOXX®/VIX spread to remain floored, given current compressed levels, could consider being positively exposed to European risk, she added.
Specifically, Richardot suggests collecting carry via a short VSTOXX®/VIX Jul-18 outperformance put. “When entering this trade, the investor’s view is to collect carry if the spread levels are unchanged or go higher,” she said. “An investor who thinks current July futures are underpricing the risk of [European Central Bank] meeting and political risks may be interested to enter such [a] structure… The July spread currently trades at -1.4 vol points, well below historical standards for the constant maturity spread.”
With Italy heading for a snap general election, potentially held in July, Cathal Hardiman, institutional trader at IMC in Amsterdam, yesterday noted a huge print in VSTOXX® June options tracking July volatility. “We saw a buyer of the 17/20 call spread vs. the 13 put in 18k x 22k lots,” he said. This looks like a bullish play on July volatility around the Italian elections, he added. Specifically, the buyer paid EUR90,000 and will profit EUR5.3 million if the June VSTOXX® future expires above 20, he said.
 | Georgia Reynolds is a reporter at EMEA at EQDerivatives, based in London. A recent graduate from City University London, Georgia has been studying and producing print and multimedia journalism for five years. |
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