Article / 04 July 2012 at 11:34 GMT

Volatility in equity indices subsides following EU Summit

Head of Commodity Strategy / Saxo Bank
Denmark

The relief rally in stock markets following the EU Summit last Friday triggered a reduction in volatility across the four European stock indices we track in this report.

Implied volatility in the German DAX index has fallen to 19.4 percent, the lowest level since early April, following a peak of 31.6 percent on June 1. Tail end risk also dropped with OTM vol falling faster than ATM vol.

The Italian MIB index, also saw reduced vol but both tails remain elevated with traders still willing to pay up for protection on both sides. The put/call ratio has also risen a little signalling an increase in the number of put positions held relative to calls.

Please click here for the full report.

 

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070412_Index Options Update.pdf

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