The term structure of vstoxx is interesting.
Apr’19: 23.40
May’17: 20.10
Jun’21: 20.55
This suggests to me the hedging of volatility is mainly around the April 23rd first round not the May 7th round, which seems odd. As I understand it Le Pen is almost certain to be one of the final 2 in the run-off in May so I don’t get the premium for the April contract. If there’s any uncertainty shouldn’t it be over the May contract when, although the polls say Le Pen trails Fillon or Macron by a very…