Sell VStoxx and buy Vix futures, says BarCap
The divergence between US and European volatility measures has grown in the first quarter of 2012, according to Barclays Capital
The spread between US and European equity markets has elevated since the onset of the eurozone sovereign debt crisis, making it more attractive to sell futures on Europe's benchmark volatility measure the VStoxx index and buy those on its US counterpart the Vix, according to Barclays Capital.
Volatility levels in Europe soared last year, with the VStoxx surging 7.5% to a 32-month high of 53.55 in September 2011 and the Vix closing 14.96 points lower, marking the widest gap between the two
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