The information content of the volatility index options trading volume

This paper investigates the predictive content of the Volatility Index (VIX) options trading volume for the future dynamics of the underlying VIX index. Using a novel data set from the Chicago Board Options Exchange, we calculate the put–call ratio based on the VIX option volume initiated by buyers...

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Veröffentlicht in:	The journal of futures markets 2022-09, Vol.42 (9), p.1721-1737
Hauptverfasser:	Gu, Chen, Guo, Xu, Kurov, Alexander, Stan, Raluca
Format:	Artikel
Sprache:	eng
Schlagworte:	information Information content put–call ratio Trading VIX options Volatility
Online-Zugang:	Volltext
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