VIX futures calendar spreads
نویسندگان
چکیده
منابع مشابه
Bounds for VIX futures given S&P 500 smiles
We derive sharp bounds for the prices of VIX futures using the full information of S&P 500 smiles. To that end, we formulate the model-free sub/superreplication of the VIX by trading in the S&P 500 and its vanilla options as well as the forward-starting log-contracts. A dual problem of minimizing/maximizing certain risk-neutral expectations is introduced and shown to yield the same value. The c...
متن کاملBid - Ask Spreads in Commodity Futures Markets
Issues of recent interest and controversy regarding bid-ask spreads in commodity futures markets are investigated. First we apply competing spread estimators to open outcry transactions data and compare resulting estimates to observed spreads. This enables market microstructure researchers, regulators, exchange officials, and traders the opportunity to evaluate the usefulness and accuracy of bi...
متن کاملUnderstanding the Role of VIX in Explaining Movements in Credit Spreads
Why does the VIX and market return explain changes in credit spreads? Existing literature suggests these factors proxy for macroeconomic risk. In this paper, we investigate an alternative hypothesis that the VIX in its role as a fear index impacts intermediary and arbitrageur capital, impacting spreads and resulting in decreased market integration across credit and equity markets. We document t...
متن کاملA Markov Model for the Pricing of Catastrophe Insurance Futures and Spreads
This article presents a valuation theory of futures contracts and derivatives on such contracts when the underlying delivery value follows a stochastic process containing jumps of random claim sizes at random time points of catastrophe occurrence. Applications of the theory are made on insurance futures and options, new instruments for risk management launched by the Chicago Board of Trade. Sev...
متن کاملExplaining the Negative Returns to Volatility Claims: An Equilibrium Approach
We study the returns to investing in VIX futures and VIX Exchange Traded Notes (ETNs). We document a substantial negative return premium for both ETNs and the futures. For example, the a constant maturity portfolio of one-month VIX futures loses about 30% per year over our sample period (2006-2013). We propose an equilibrium model to explain these negative returns. In this model, increases in v...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Futures Markets
سال: 2017
ISSN: 0270-7314
DOI: 10.1002/fut.21886