An analysis on the intraday trading activity of VIX derivatives
在高频框架下研究VIX衍生品市场交易活动与VIX指数变化的关系，发现VIX期货的净交易变量能预测指数未来变化，支持其信息作用。
We investigate the relation between trading activity in the VIX derivative markets and changes in the VIX index under a high‐frequency framework. We find a significant relation between the signed trading variables of VIX futures and the contemporaneous changes in the VIX index. In addition, the net signed trading variables of VIX futures are significant predictors of future changes in the VIX index. Our results provide support for the informational role of VIX futures and evidence that trading activity in VIX options is likely caused by temporary liquidity shocks rather than the likelihood of informed trading.