​VIX, VSTOXX Spread To Tighten In Q3, Opportunity To Go Long Via November Expiries

The divergence seen in the short-term VIX, VSTOXX spread over the last month, driven by Greece and increased volatility in the Bund, is set to continue to dissipate, with the spread collapsing further during the next quarter as the market becomes more comfortable in the new regime driven by central bank policy. Given, however, the prospect of Spanish elections and a rate hike in the U.S. occurring in Q4, there is value in going long the spread in November future expiries.