TitleTrader Positions in VIX Futures
Publication TypeJournal Articles
AuthorsChen, Y-L, Yang, J
JournalJournal of Empirical Finance
Volume61
IssueMarch
Pagination1-17
Date Published2020 In Press
KeywordsDoctoral Program, Finance, MBA
Abstract

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.

Sort

a