From Vix to VStoxx: decoupling volatility

Decoupling volatility

Bertrand Delarue

The long-held belief that the Chicago Board Option Exchange's Volatility Index (Vix), which is the benchmark for US volatility, is an appropriate proxy for the volatility of European equities is under threat. Volatility levels in Europe rocketed to their highest level this year, with the VStoxx Index surging 7.5% to a 32-month high of 53.55 in September 2011 and the Vix closing 14.96 points below the gauge, marking the widest gap since October 2008. Traders are saying strategies that focus on