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An analysis on the intraday trading activity of VIX derivatives

Dian‐Xuan Kao, Wei‐Che Tsai, Yaw‐Huei Wang and Kuang‐Chieh Yen

Journal of Futures Markets, 2018, vol. 38, issue 2, 158-174

Abstract: We investigate the relation between trading activity in the VIX derivative markets and changes in the VIX index under a high‐frequency framework. We find a significant relation between the signed trading variables of VIX futures and the contemporaneous changes in the VIX index. In addition, the net signed trading variables of VIX futures are significant predictors of future changes in the VIX index. Our results provide support for the informational role of VIX futures and evidence that trading activity in VIX options is likely caused by temporary liquidity shocks rather than the likelihood of informed trading.

Date: 2018
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