VIX Futures Calendar Spreads
| Autor: | Ai Jun Hou, Lars L. Norden |
|---|---|
| Rok vydání: | 2017 |
| Předmět: |
Economics and Econometrics
Calendar effect 050208 finance Financial economics 05 social sciences volatility Monetary economics General Business Management and Accounting VIX futures calendar spread Basis point Accounting term structure slope Calendar spread 0502 economics and business Economics 050207 economics Volatility (finance) Speculation Futures contract health care economics and organizations Finance Business Administration Företagsekonomi |
| Zdroj: | SSRN Electronic Journal. |
| ISSN: | 1556-5068 |
| DOI: | 10.2139/ssrn.2968918 |
| Popis: | A VIX futures calendar spread involves buying a futures contract maturing in one month and selling another one maturing in a different month. VIX futures calendar spreads represent a daily turnover above 500 million dollars, or roughly 20% of the total VIX futures trading volume. A calendar spread trade is a bet on the change in the slope of the volatility term structure. We find that speculation, rather than information about changes in the slope of the volatility term structure, is driving calendar spread trades. On average, a calendar spread costs a little less than $100 (about 15 basis points). If settled at the end of the trading day, 43% of the calendar spreads are profitable. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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