Trader positions in VIX futures

被引：9

作者：

Chen, Yu-Lun ^{[1
]}

Yang, J. Jimmy ^{[2
]}

机构：

[1] Chung Yuan Christian Univ, Coll Business, Dept Finance, Taoyuan, Taiwan

[2] Oregon State Univ, Sch Accounting Finance & Informat Syst, Coll Business, Corvallis, OR 97331 USA

来源：

JOURNAL OF EMPIRICAL FINANCE | 2021年 / 61卷

关键词：

VIX futures; Leveraged fund; Dealers; Exchange-traded products; HEDGING PRESSURE; RISK PREMIA; BEHAVIOR; EFFICIENCY; DYNAMICS; MARKETS; STOCK;

D O I：

10.1016/j.jempfin.2020.12.003

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We investigate the dynamic changes in trader positions of market participants in the VIX futures markets. We find that in a low-VIX period, below the 23.81 threshold determined by our model, changes in VIX futures affect the trading decisions of dealers and leveraged fund managers, but in an opposite direction. During a high-VIX period, dealers and leveraged fund managers would then alter their trading strategies. We highlight the important role of exchange-traded products trading in hedging demand of dealers and show the impact on VIX futures. Trader positions are determinants of VIX futures prices, basis, and VIX premium.

引用

页码：1 / 17

页数：17

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