SXEP Vol Premium To SX5E To Gap Wider

Feb 19, 2016

The one-year volatility premium in the Euro Stoxx Europe 600 Oil & Gas (SXEP) to the Euro Stoxx 50 (SX5E) is set to gap even wider after reaching a multi-year high of eight vol points 10 days ago. Over the last week, the volatility premium between the two indices has normalized slightly to sit around six vol points as oil has rallied, yet default risk in the oil and gas sector continues to be elevated.

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