VIX option-implied volatility slope and VIX futures returns

Jungah Yoon*, Xinfeng Ruan, Jin E. Zhang

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

5 Citations (Scopus)

Abstract

This paper documents the dynamics of the term structure of the implied volatility (IV) smirk of Chicago Board Options Exchange Volatility Index (VIX) options. Empirical analysis shows that VIX option–IV slope predicts VIX futures returns over the next day to month, outperforms existing investors' perception proxies in the stock and option markets. The empirical finding is rationalized through time-varying correlation between the VIX and volatility of VIX (VVIX), VIX jumps, and investors' net positions in VIX futures market.

Original languageEnglish
Pages (from-to)1002-1038
Number of pages37
JournalJournal of Futures Markets
Volume42
Issue number6
DOIs
Publication statusPublished - Jun 2022
Externally publishedYes

Keywords

  • VIX futures returns
  • VIX options
  • implied volatility slope

Fingerprint

Dive into the research topics of 'VIX option-implied volatility slope and VIX futures returns'. Together they form a unique fingerprint.

Cite this