Italian Referendum Date Clarity Adds To Favourable Long VSTOXX, Short VIX RV Play

Greater clarity on the Italian referendum date has created a tactical opportunity to trade VIX / VSTOXX relative value, specifically by going long VSTOXX puts and short VIX puts in October maturities. The VSTOXX Oct futures will unlikely be directly impacted, while the VIX Oct futures will likely be supportedgiven U.S. elections according to Bank of America Merrill Lynch.