TitleTrader Positions in VIX Futures
Publication TypeJournal Articles
AuthorsChen, Y-L, Yang, J
JournalJournal of Empirical Finance
Date Published2020 In Press
KeywordsDoctoral Program, Finance, MBA

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.