Title

Tail wags dog: Intraday price discovery in VIX markets

Date of this Version

2016

Document Type

Journal Article

Publication Details

Citation only

Bollen, N. P., O'Neill, M. J., & Whaley, R. E. (2016). Tail wags dog: Intraday price discovery in VIX markets. Journal of Futures Markets, 1 - 21.

Access the journal

© 2016 Wiley Periodicals, Inc

ISSN

0270-7314 print, 1096-9934 online

Abstract

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.

This document is currently not available here.

Share

COinS
 

This document has been peer reviewed.