We examine the short-term dynamic relation between the S&P 500 (Nasdaq 100) index return and changes in implied volatility at both the daily and intraday level. Neither the leverage hypothesis nor the volatility feedback hypothesis adequately explains the results. Alternatively, we propose that...

We develop a general model to price VIX futures contracts. The model is adapted to test both the constant elasticity of variance (CEV) and the Cox–Ingersoll–Ross formulations, with and without jumps. Empirical tests on VIX futures prices provide out-of-sample estimates within 2% of the...

An important component of theoretical CBOE Volatility Index (VIX) futures prices is a term correcting for the negative convexity of the square root function by subtracting from the forward-starting variance swap rate an estimate of the future volatility of VIX futures prices. In the same fashion...

We investigate whether employing individual commodity futures provides a superior optimized risk-return strategy relative to an equity portfolio, in spite of recently increasing correlations between commodity and equity markets. We first construct Markowitz mean-variance optimized portfolios of...

We analyze the behavior of both the bid-ask spread and the depth of ETF options during the May 6th, 2010 Flash Crash. During the Flash Crash stub quotes (maximum quote size allowed) consistently occurred for more than 90% of the ETF option series examined in this study. Correspondingly, the best...

We examine the return‐implied volatility relation by employing “commodity” option VIXs for the euro, gold, and oil. This relation is substantially weaker than for stock indexes. We propose several potential reasons for these unusually weak results. Also, gold possesses an unusual positive...

The intraday seasonal variance pattern contains stochastic as well as deterministic components. Therefore, the estimation of information arrivals in the associated volatility process requires the proper filtering of both of these seasonal components. However, popular current models remove only...