Consistency between S&P500 and VIX derivatives: Insights from model‐free VIX futures pricing

Hendrik Hülsbusch and Alexander Kraftschik

Journal of Futures Markets, 2018, vol. 38, issue 8, 977-995

Abstract: This paper studies the interdependencies between the VIX futures market and the S&P500 and VIX options markets using a model‐free pricing method for VIX futures. We show that the replication strategy for the VIX futures greatly deviates from observed prices. Limited strike ranges do not suffice to explain these deviations, whereas the options’ bid–ask spreads can explain most of it. After controlling for the spreads, we find a lead–lag structure between markets segmented by product, not by its underlying. If options markets imply higher volatility risks than VIX futures, options prices in both markets adjust and vice versa.

Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://doi.org/10.1002/fut.21919

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:wly:jfutmk:v:38:y:2018:i:8:p:977-995

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0270-7314

Access Statistics for this article

Journal of Futures Markets is currently edited by Robert I. Webb

More articles in Journal of Futures Markets from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().