VIX option-implied volatility slope and VIX futures returns

被引：7

作者：

Yoon, Jungah ^{[1
]}

Ruan, Xinfeng ^{[1
]}

Zhang, Jin E. ^{[1
]}

机构：

[1] Univ Otago, Otago Business Sch, Dept Accountancy & Finance, Dunedin 9054, New Zealand

来源：

JOURNAL OF FUTURES MARKETS | 2022年 / 42卷 / 06期

关键词：

implied volatility slope; VIX futures returns; VIX options; VARIANCE RISK-PREMIUM; INVESTOR SENTIMENT; EMPIRICAL PERFORMANCE; OF-VOLATILITY; STOCK RETURNS; LIQUIDITY; SMIRK; PRICE; US;

D O I：

10.1002/fut.22317

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper documents the dynamics of the term structure of the implied volatility (IV) smirk of Chicago Board Options Exchange Volatility Index (VIX) options. Empirical analysis shows that VIX option-IV slope predicts VIX futures returns over the next day to month, outperforms existing investors' perception proxies in the stock and option markets. The empirical finding is rationalized through time-varying correlation between the VIX and volatility of VIX (VVIX), VIX jumps, and investors' net positions in VIX futures market.

引用

页码：1002 / 1038

页数：37

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