​Mid-Weekly: VSTOXX Undervalued; CBOE Launches Smile Index

Volumes on the listed markets have been somewhat muted this week as investors await the outcome of next month’s U.S presidential election. One vol manager told us recently that owning VIX skew into the election made sense. Also in the U.S., CBOE has launched the S&P 500 Smile Index, a premium-capture strategy benchmark index based on the steepness of the curve of implied volatilities of SPX options. In Europe, the low level of the VSTOXX relative to the VIX amid a backdrop of increased macro risks has opened an opportunity to consider upside structures in November expiries on listed European volatility.