The impact of net buying pressure on VIX option prices

被引：9
作者：
Chuang, Yi-Wei [1 ]
Tsai, Wei-Che [2 ]
Wu, Ming-Hung [3 ]
机构：
[1] Feng Chia Univ, Dept Int Business, Taichung, Taiwan
[2] Natl Sun Yat Sen Univ, Dept Finance, 70 Lienhai Rd, Kaohsiung 80424, Taiwan
[3] Beijing Normal Univ, Sch Management, Zhuhai, Peoples R China
来源：
JOURNAL OF FUTURES MARKETS | 2020年 / 40卷 / 02期
关键词：
implied volatility of volatility; limits of arbitrage; net buying pressure; Volatility Index options; TRADING ACTIVITY; CROSS-SECTION; INFORMATION; VOLATILITY; RISK; ARBITRAGE; MARKETS; VOLUME; LIQUIDITY; STOCKS;
D O I：
10.1002/fut.22060
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper analyzes the impact of intraday trading activity on option prices in the Volatility Index (VIX) options market. Our results show that there is a temporal relationship between net buying pressure (NBP) and changes in implied volatility of VIX options. Moreover, an increase in NBPs lowers the next-day delta-hedged option returns. Using several measures proxying for limits to arbitrage, the average levels of the implied volatility curve rise when limits to arbitrage are severe. A trading strategy in the VIX futures market constructed by using the NBP generates an average annualized return of 10.09%.
引用
收藏
页码：209 / 227
页数：19
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