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AEX / VAEX


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AEX / VAEX

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  #1 (permalink)
Gits (Hooglede) Belgium
 
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Recently I have been struggling with the VAEX, which is the volatility index on the AEX (Amsterdam Exchange).
the VAEX on the AEX has been lock-stepped, i have been talking to a few fellow traders, who blame
backwardation/contango on the AEX

While i have never seen such mathematical issues on the ES, what is the explanation for the current VAEX
issue ? or is it just a plain Bug ?

Any AEX traders here ?



I checked it on my Reuters terminal, same data... what does this mean ?

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Did you find out what was going on? Thanks

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mattygoal View Post
Did you find out what was going on? Thanks

No not really, its like that, their algorithm to calculate the VIX is a bit quircky.

What i did is i created a module to calculate myself a dataseries that is a skew
proxy based on the options, which works better than this VIX.

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That sounds complicated I do options on the AEX, mostly spreads. Why do you use the AEX if I may ask? (I am just a beginner)

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mattygoal View Post
That sounds complicated I do options on the AEX, mostly spreads. Why do you use the AEX if I may ask? (I am just a beginner)

It is complicated, it's very heavy real-time math lifting...
I have it running on both AEX and FDAX.

I trade AEX and FDAX futures and also options.

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rleplae View Post
It is complicated, it's very heavy real-time math lifting...
I have it running on both AEX and FDAX.

I trade AEX and FDAX futures and also options.

I do spreads on the Aex as well - I didnt notice the issue with the lockstepping although my datavendor isnt giving me the VAEX data anymore. I now look at it through through the IEX site. Unfortunately being new I cannot post the link but if you search for VAEX IEX in google you will get sent straight to it.

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