Search Results - subject:"VIX Futures"

Disaggregating VIX

Degiannakis, Stavros; Kafousaki, Eleftheria - 2025

Persistent link: https://www.econbiz.de/10015197246

The lead-lag relation between VIX futures and SPX futures

Bangsgaard, Christine; Kokholm, Thomas - In: Journal of financial markets 67 (2024), pp. 1-26

Persistent link: https://www.econbiz.de/10014491067

VIX option-implied volatility slope and VIX futures returns

Yoon, Jungah; Ruan, Xinfeng; Zhang, Jin E. - In: The journal of futures markets 42 (2022) 6, pp. 1002-1038

Persistent link: https://www.econbiz.de/10013287910

Consistent time-homogeneous modeling of SPX and VIX derivatives

Papanicolaou, Andrew - In: Mathematical finance : an international journal of … 32 (2022) 3, pp. 907-940

Persistent link: https://www.econbiz.de/10013331067

Estimation of VIX futures through Gaussian factor models

Fernandes, Felipe do Nascimento; Aiube, Fernando … - In: Revista Brasileira de Finanças : RBFin 20 (2022) 3, pp. 31-49

In this paper we investigate VIX dynamics through a two-factor Gaussian model, following Avellaneda and Papanicolaou (2019). Two strategies were adopted. First, we considered constant market price of risk. Second, we included time-varying market price of risk. In both cases, we estimated the...

Persistent link: https://www.econbiz.de/10014253891

The law of one price in equity volatility markets

Van Tassel, Peter - 2020

-arbitrage restrictions, the prices of VIX futures exhibit significant deviations relative to their option-implied upper bounds. Static … arbitrage opportunities occur when the prices of VIX futures violate their bounds. The deviations widen during periods of market … stress and predict the returns of VIX futures. A relative value trading strategy based on the deviation measure earns a large …

Persistent link: https://www.econbiz.de/10012619530

Volatility markets underreacted to the early stages of the COVID-19 pandemic

Cheng, Ing-Haw - 2020

VIX futures prices rose slowly in late February and early March 2020 as the COVID-19 pandemic took hold. Futures price …

Persistent link: https://www.econbiz.de/10012244975

The law of one price in equity volatility markets

Van Tassel, Peter - 2020

Persistent link: https://www.econbiz.de/10012391498

VIX futures as a market timing indicator

Fassas, Athanasios P.; Hourvouliades, Nikolas - In: Journal of Risk and Financial Management 12 (2019) 3, pp. 1-9

that they can use the VIX futures term structure not only as a proxy of market expectations on forward volatility, but also …

Persistent link: https://www.econbiz.de/10012611184

VIX futures as a market timing indicator

Fassas, Athanasios P.; Hourvouliades, Nikolas - In: Journal of risk and financial management : JRFM 12 (2019) 3/113, pp. 1-9

that they can use the VIX futures term structure not only as a proxy of market expectations on forward volatility, but also …

Persistent link: https://www.econbiz.de/10012025298