Tail Wags Dog: Intraday Price Discovery in VIX Markets
研究了VIX现货指数与VIX期货之间的价格发现关系，发现过去VIX变化领先期货价格变化，但现在期货领先，这对理解波动率市场的供需动态和套利关系有参考价值。
Beginning with VIX futures in 2004, followed by VIX options in 2006 and VIX ETPs in 2009, the daily open interest in volatility contracts is now in the tens of billions of dollars. Given this growth, it is important to develop a better understanding of price discovery and the supply/demand dynamics in each market. Some of the price relations are linked by arbitrage. Others are not. In particular, the relation between the VIX cash index and the VIX futures is not arbitraged, and we show that, where once VIX changes led VIX futures price changes, the VIX futures now leads. © 2016 Wiley Periodicals, Inc. Jrl Fut Mark 37:431–451, 2017