Check out the recent divergence of Euro Stoxx Vol(SX5E) and STOXX Banks Vol (SX7E), its back at a 2x ratio currently (SX7E over).
Regardless of your view here this should give a lot of opportunities to switch SX7E against SX5E options for a good pickup. Here we look at buying 25 Delta SX5E Calls against selling 25 Delta SX7E Calls for a vega credit. SX5E Dec 3700 Calls vs SX7E Dec 97.50 Calls.
A Vega weighting for this switch would be around 7/1 (SX7E/SX5E) but given the large contract size of the SX7E vs SX5E (5x larger index size), you can overweight the SX5E side to limit your risk, here we go for selling 5 SX7E Dec 97.50 Calls vs Buying 1 SX5E Dec 3700 Call.
This should be possible for a decent credit, selling 5 SX7E Dec 97.50 Calls @ 2 = €500 vs Buy the SX5E Dec 3700 Call @ 28.9 = €289, so a credit of around €211, and you get net long Vega SX5E leg. Add more SX5E Calls if you’re very bullish the SX5E here.