The role of intermediaries in derivatives markets: Evidence from VIX options

被引：2

作者：

Jacobs, Kris ^{[1
]}

Mai, Anh Thu ^{[2
]}

机构：

[1] Univ Houston, Houston, TX 77004 USA

[2] Purdue Univ Northwest, Westville, IN 46391 USA

来源：

JOURNAL OF EMPIRICAL FINANCE | 2024年 / 77卷

关键词：

Intermediaries; Net demand pressure; VIX; Market makers; Option prices; Vector autoregression; CROSS-SECTION; STOCK; INFORMATION; LIQUIDITY; TRADES;

D O I：

10.1016/j.jempfin.2024.101492

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Consistent with models of intermediaries who absorb demand pressure from end -users and respond by changing prices, net option demand is positively related to option prices in the market for VIX puts and calls. VIX and SPX option markets are integrated: market -makers absorb end -users' net long volatility positions and net demand affects prices across markets. Net demand changes in the most liquid markets result in spillover effects between the VIX and SPX markets. A dynamic characterization of prices and net demand suggests that VIX option markets and the SPX put market are integrated, while the SPX call market is more segregated.

引用

页数：18

共 31 条

[21] Does Algorithmic Trading Improve Liquidity? [J].