Download This PaperDynamics in the VIX Complex
45 Pages Posted: 5 Mar 2021 Last revised: 1 Jun 2021
Date Written: January 6, 2021
Abstract
This paper provides a characterization of the dynamic interactions in the VIX complex, composed of the VIX itself, the term structure of VIX futures, and VIX 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.
Keywords: VIX futures, Term structure analysis, the VIX, VIX ETPs
JEL Classification: G13; G14
Suggested Citation: Suggested Citation
Posselt, Anders Merrild, Dynamics in the VIX Complex (January 6, 2021). Available at SSRN: https://ssrn.com/abstract=3723728 or http://dx.doi.org/10.2139/ssrn.3723728
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