We investigate the relation between trading activity in the VIX derivative markets and changes in the VIX index under a high-frequency framework. We find a significant relation between the signed trading variables of VIX futures and the contemporaneous changes in the VIX index. In addition, the...

Given that both S&P 500 index and VIX options essentially contain information on the future dynamics of the S&P 500 index, in this study, we set out to empirically investigate the informational roles played by these two option markets with regard to the prediction of returns, volatility and...

While numerous prior studies report that call–put implied volatility spreads positively predict future stock returns, recent literature shows that the predictive relation is negative for future call option returns. We investigate whether and, if so, how the predictive relation for options...

With the innovation of derivatives, the Standard and Poor's (S&P) 500 index -- as an underlying asset of the volatility index (VIX) introduced by the Chicago Board Options Exchange (CBOE) -- was adopted as the research subject in this study. Since the financial crisis of 2008, the degree of...