Trader positions in VIX futures

Yu-Lun Chen and J. Jimmy Yang

Journal of Empirical Finance, 2021, vol. 61, issue C, 1-17

Abstract: 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.

Keywords: VIX futures; Leveraged fund; Dealers; Exchange-traded products (search for similar items in EconPapers)
JEL-codes: C32 G01 G10 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:empfin:v:61:y:2021:i:c:p:1-17

DOI: 10.1016/j.jempfin.2020.12.003

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