This paper introduces a new model-free approach to measuring the expectation of market variance using VIX derivatives. This approach shows that VIX derivatives carry different information about future variance than S&P 500 (SPX) options, especially during the 2008 financial crisis. I find that...

This paper examines the option pricing implications of short-run and long-run volatility factors, which are assumed to be driven by short-run and long-run news events, respectively. Using a comprehensive dataset of S&P 500 index options over 1993-2008, I find that the proposed two-factor...

This paper introduces a new model-free approach to measuring the expectation of market variance using VIX derivatives. This approach shows that VIX derivatives carry different information about future variance than S\&P 500 (SPX) options, especially during the 2008 financial crisis. I find that...

The Alternative Reference Rate Committee, a group of private-sector market participants convened by the Federal Reserve, has recommended that markets transition to the use of the Secured Overnight Financing Rate (SOFR) in financial contracts that currently reference US dollar LIBOR. This paper...