Whitepaper - January 2019

Volatility – An Investable Asset Class

Ever since the onset of the financial crisis in 2008, volatility has become a critical aspect for investors to consider, measure and position in their portfolios. During the peak of the financial crisis, realized volatilities of asset prices soared as well as volatilities implied by option prices and measured by volatility indices such as the EURO STOXX 50® Volatility (VSTOXX®) Index and VDAX® reached unprecedented levels, reflecting the increasing cost of buying downside protection in the form of options during the market turmoil.

Authors

Anand Venkataraman

Head of Section, Product Management