​Weekly: SX7P, SX7E Vol Dislocations, VIX Call Spread Buying

Investors were seen this week considering opportunities to play the volatility dislocation between the SX7P and the SX7E, given the recent volatility spike in the former. It seems SX7P volatility appears significantly high compared to the SX7E, as the ECB gears up for a policy decision in March and investor concerns remain around Eurostoxx bank earnings. Meanwhile in the U.S., trading on the VIX finished out a strong week with more buyers seen in the March 30, 40 call spread. The trade saw increased volume this week as buyers entered the market as U.S. equity sold off. One interdealer broker was also out in the market today buying up Feb. 28 calls. Don’t miss out on this week’s buyside commentary. We have Russell Investments with their take on recent U.S. volatility moves, while Rich Haworth at 36 South is out with his thoughts on “grey swan” events; volatile episodes that can be anticipated with the use of superior analysis and macro-economic foresight.