The implied volatility smirk in the VXX options market

Sebastian A. Gehricke and Jin E. Zhang

Applied Economics, 2020, vol. 52, issue 8, 769-788

Abstract: The VXX option market has grown in popularity alongside the VXX ETN market in activity and size of oustanding positions, yet there is no complete VXX option pricing model. This paper is the first to document and analyze the implied volatility (IV) curves of the VXX options market, by applying the methodology of Zhang and Xiang, providing a necessary benchmark for developing a VXX option pricing model. The IV curves of the VXX options market do not exhibit the typical smirk shape, as for S&P 500 options, but rather an upward-sloping almost linear curve.

Date: 2020
References: Add references at CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
http://hdl.handle.net/10.1080/00036846.2019.1646402 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:applec:v:52:y:2020:i:8:p:769-788

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20

DOI: 10.1080/00036846.2019.1646402

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().