A VIX futures calendar spread involves buying a futures contract maturing in one month and selling another one maturing in a different month. VIX futures calendar spreads represent a daily turnover above 500 million dollars, or roughly 20% of the total VIX futures trading volume. A calendar...

This paper investigates how the introduction of a closing call auction in the OMXS 30 index futures market influences market quality and price accuracy. Index futures markets are characterized by traders with no or little private information. Limit order book models where trader patience (rather...

This study presents a model for estimating the asymmetry of the futures price with respect to the futures bid-ask spread. Using data from the Swedish OMXS 30 index futures market, estimation results show clear evidence of futures price asymmetry, where the futures price in general tends to be...

Recently, several stock index futures exchanges have experimented with an altered contract design in order to make the contract more attractive and to increase investor accessibility. In 1998, the Swedish futures exchange (OM) split the OMX-index futures contract with a factor 4:1, without...

Recently, the Swedish options and futures exchange (OM) launched some regulatory changes in the design of the OMX index options market. The redesign constituted two alterations in the option contract specifications; a coarser strike price interval for the index options, and a 4:1 split affecting...