An Analysis on the Intraday Trading Activity of VIX Derivatives
Journal of Futures Markets, Forthcoming
42 Pages Posted: 2 May 2017 Last revised: 9 Dec 2017
Date Written: April 1, 2017
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.
Keywords: VIX index; VIX futures; VIX options; Trading activity
JEL Classification: G12, G14
Suggested Citation: Suggested Citation