Manipulation in the VIX?
研究发现，在VIX波动率指数结算时，标普500指数期权中用于计算VIX的虚值期权交易量激增，且对VIX影响越大、不连续的期权越明显，排除了对冲和协调流动性交易的解释，支持市场操纵假说。
At the settlement time of the VIX Volatility Index, volume spikes on S&P 500 Index (SPX) options, but only in out-of-the-money options used to calculate the VIX, and more so for options with a higher and discontinuous influence on VIX. We investigate alternative explanations of hedging and coordinated liquidity trading. Tests including those utilizing differences in put and call options, open interest around the settlement, and a similar volatility contract with an entirely different settlement procedure in Europe are inconsistent with these explanations but consistent with market manipulation. Large transient deviations in prices demonstrate the importance of settlement design. Received November 28, 2015; editorial decision June 19, 2017 by Editor Robin Greenwood.