Index provider Stoxx has launched the Euro Stoxx 50 Volatility Mid-Term Futures Index.
The new index is an addition to the existing VStoxx Short-Term Futures Index.
Both indices measure the performance of a hypothetical, rolling portfolio invested into constant maturity implied volatilities on the underlying Euro Stoxx 50 Index.
The index has been licensed to Barclays Capital to underlie an exchange-traded note.
"The VStoxx Mid-Term Futures Index is the latest addition to our range of innovative and complex strategy indices," says Hartmut Graf, chief executive officer, Stoxx. "With a rising interest in volatility as an asset class of its own, the new index complements the existing VStoxx Short-Term Futures Index. We are now offering market participants an opportunity to also measure the return from rolling long positions in the mid-term Eurex VStoxx futures contracts through a sophisticated and rules-based index."
"The launch of the second investible VStoxx Futures Index complements the existing VStoxx offering by providing access to longer dated volatility exposure, which typically exhibits lower carry costs in stable markets," says Antti Suhonen, head of origination, equity and fund structured markets at Barclays Capital. "It therefore could be suited for buy-and-hold investors wishing to allocate part of their portfolio to an asset class which may deliver positive returns in times of market distress. Barclays Capital will soon offer direct access to the index in a simple and transparent format through an iPath ETN."
The index replicates a hypothetical portfolio which measures the returns from a rolling investment made into four VStoxx futures contracts traded on Eurex with a remaining maturity of four, five, six and seven months.
The index is available in excess and total return versions. In the total return version of the index, the investment into the futures contracts is fully collateralized by a daily investment into the Eonia market.