The implied volatility smirk in the VXX options market

The VXX option market has grown in popularity alongside the VXX ETN market in activity and size of oustanding positions, yet there is no complete VXX option pricing model. This paper is the first to document and analyze the implied volatility (IV) curves of the VXX options market, by applying the methodology of Zhang and Xiang, providing a necessary benchmark for developing a VXX option pricing model. The IV curves of the VXX options market do not exhibit the typical smirk shape, as for S&P 500 options, but rather an upward-sloping almost linear curve.