This paper examines the effects of the nondiscretionary trading demands of VIX exchangetradedproducts (ETPs) issuers on the prices and volumes in the VIX futures. We find thatthe ETPs’ information-less, mechanical rebalancing of futures positions to maintain theconstant maturity of the index...

The terms of exchange-traded stock option contracts are usually adjusted when corporate actions take place. These adjustments are made to safeguard the value of the outstanding option contracts. Recently, a new type of corporate event has appeared—levered and inverse exchange-traded product...

Levered and inverse ETPs are designed to provide geared long and short exposures to thedaily returns of different benchmark indexes. The benchmarks can be any reference index.The popular ones are on stocks, bonds, commodities and volatility. The problem with theseproducts is that they are not...

Recently, commodity index investing has come under attack. A Staff Report by the US Senate Permanent Subcommittee on Investigation (hereafter, the “subcommittee report”) “…finds that there is significant and persuasive evidence to conclude that these commodity index traders, in the...

A number of seemingly unrelated commodities experienced simultaneous price spikes recently. Congress investigated the increase in prices and concluded that the price increases were not attributable to fundamentals but rather to commodity index investing. The purpose of this study is to evaluate...

In the recent weeks of market turmoil, financial news services have begun routinely reporting the level of the CBOE's Market Volatility Index or quot;VIXquot;, for short. While this new practice is healthy in the sense that investors are asking for more information in helping to assess the state...

In the U.S., exchange-traded options are unprotected from cash dividend payments on the underlying stock. Consequently, it may become optimal to exercise deep in-the-money call options just prior to the ex-dividend day. In this study, we examine the extent to which option holders fail to...