Dynamics in the VIX complex

Anders Merrild Posselt

doi:10.1002/fut.22290

Dynamics in the VIX complex

^*Corresponding author for this work

Department of Economics and Business Economics - CREATES

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Abstract

This paper provides a characterization of the dynamic interactions in the Volatility Index (VIX) complex, composed of the VIX itself, the term structure of VIX futures, and VIX exchange-traded products (ETPs). I investigate a model that summarizes the VIX futures term structure using latent factors (level, slope, and curvature) and expand it with the VIX and VIX futures demand stemming from VIX ETPs. I find evidence of VIX ETPs impacting the VIX futures term structure, but no evidence of any impacts on the VIX.

Original language	English
Journal	The Journal of Futures Markets
Volume	42
Issue	9
Pages (from-to)	1665-1687
Number of pages	23
ISSN	0270-7314
DOIs	https://doi.org/10.1002/fut.22290
Publication status	Published - Sept 2022

Keywords

Term structure analysis
VIX
VIX ETPs
VIX futures

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title = "Dynamics in the VIX complex",

abstract = "This paper provides a characterization of the dynamic interactions in the Volatility Index (VIX) complex, composed of the VIX itself, the term structure of VIX futures, and VIX exchange-traded products (ETPs). I investigate a model that summarizes the VIX futures term structure using latent factors (level, slope, and curvature) and expand it with the VIX and VIX futures demand stemming from VIX ETPs. I find evidence of VIX ETPs impacting the VIX futures term structure, but no evidence of any impacts on the VIX.",

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AB - This paper provides a characterization of the dynamic interactions in the Volatility Index (VIX) complex, composed of the VIX itself, the term structure of VIX futures, and VIX exchange-traded products (ETPs). I investigate a model that summarizes the VIX futures term structure using latent factors (level, slope, and curvature) and expand it with the VIX and VIX futures demand stemming from VIX ETPs. I find evidence of VIX ETPs impacting the VIX futures term structure, but no evidence of any impacts on the VIX.

KW - Term structure analysis

KW - VIX

KW - VIX ETPs

KW - VIX futures

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Dynamics in the VIX complex

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Keywords

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