Calculating the VSTOXX Index — VSTOXX Advanced Services 2.
0 (August 2014) documentation
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Table Of Contents
Python Preliminaries
Analyzing Historical VSTOXX Data
Calculating the VSTOXX Index
Introduction
Collecting the Data
Calculating the Sub-Indexes
Calculating VSTOXX
Helper Functions
Further Information
Valuing Volatility Derivatives
Automated Monte Carlo Tests
Calibration of the Pricing Model
Backtesting of VSTOXX Strategies
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Calculating the
VSTOXX Index
This tutorial is about the (re-) calculation of the
VSTOXX index. You will find all background
information as well as Python files which will
enable you to recalculate historical VSTOXX
index values as well as current ones in
(almost) real-time. The tutorial consists of five
sections.
Introduction
This tutorial deals with the rebuilding of the
VSTOXX, the volatility index based on EURO
STOXX 50 options. The goal is to achieve a
good understanding of the processes and
underlying mechanics of calculating the
VSTOXX index.
The VSTOXX index itself is based on two sub-
indexes, which themselves are derived from
EUREX option series (both Puts and Calls) on
the STOXX (OESX). The algorithm and
therefore this tutorial are comprised of three
main parts:
Get and clean-up the data of the
necessary option series.
Compute the sub-indexes from the
option data.
Compute the VSTOXX index from the
relevant sub-indexes.
A few remarks about the option series and sub-
indices used and their expiry dates and time
horizons, respectively.
There are 8 sub-indexes of the VSTOXX which
each measure the implied volatility of an option
series with fixed expiry. For example, the
VSTOXX 1M sub-index starts with the option
series that has 1 month expiry and is
calculated up to two days prior to the fixed
maturity date of the according option series.
Settlement
date of the
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Calculating the VSTOXX Index — VSTOXX Advanced Services 2.0 (August 2014) documentation

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