Tail Wags Dog: Intraday Price Discovery in VIX Markets

Tail Wags Dog: Intraday Price Discovery in VIX Markets

Beginning with VIX futures in 2004, followed by VIX options in 2006 and VIX ETPs in 2009, the daily open interest in volatility contracts is now in the tens of billions of dollars. Given this growth, it is important to develop a better understanding of price discovery and the supply/demand dynamics...

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Veröffentlicht in:The journal of futures markets 2017-05, Vol.37 (5), p.431-451
Hauptverfasser: Bollen, Nicolas P.B., O'Neill, Michael J., Whaley, Robert E.
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Sprache:eng
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Futures
Futures market
Volatility
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description Beginning with VIX futures in 2004, followed by VIX options in 2006 and VIX ETPs in 2009, the daily open interest in volatility contracts is now in the tens of billions of dollars. Given this growth, it is important to develop a better understanding of price discovery and the supply/demand dynamics in each market. Some of the price relations are linked by arbitrage. Others are not. In particular, the relation between the VIX cash index and the VIX futures is not arbitraged, and we show that, where once VIX changes led VIX futures price changes, the VIX futures now leads. © 2016 Wiley Periodicals, Inc. Jrl Fut Mark 37:431–451, 2017
doi_str_mv 10.1002/fut.21805
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source Wiley Online Library Journals Frontfile Complete; Business Source Complete
subjects Futures
Futures market
Volatility
title Tail Wags Dog: Intraday Price Discovery in VIX Markets
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