Intraday momentum in the VIX futures market

Hong-Gia Huang, Wei-Che Tsai, Pei-Shih Weng and J. Jimmy Yang

Journal of Banking & Finance, 2023, vol. 148, issue C

Abstract: This study examines intraday momentum in the unexplored VIX futures market and verifies its existence through various empirical tests. The intraday momentum of VIX futures appears to be robust across contracts with different expirations, intraday returns with different time intervals, different trading sessions, and multiple sub-periods. We propose that the hedging demand of VIX option market makers may contribute to the intraday momentum. Our empirical evidence shows that intraday momentum persists only when the net gamma exposure of VIX options is negative and the effect weakens when European investors are away from the market, supporting our proposed explanation. Strikingly, we also find that trading strategies based on intraday momentum can generate an average annualized return of up to nearly 18%.

Keywords: Intraday Momentum; VIX Futures; Hedging demand; Net gamma exposure (search for similar items in EconPapers)
JEL-codes: G12 G13 G14 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:148:y:2023:i:c:s0378426622003260

DOI: 10.1016/j.jbankfin.2022.106746

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