The information content of the volatility index options trading volume
研究了VIX期权交易量中看跌看涨比率对VIX指数未来变化的预测能力，发现该比率能负向预测VIX变动，尤其在VIX高位和短期合约中更显著，支持知情交易者利用VIX期权市场进行交易的观点。
Abstract This paper investigates the predictive content of the Volatility Index (VIX) options trading volume for the future dynamics of the underlying VIX index. Using a novel data set from the Chicago Board Options Exchange, we calculate the put–call ratio based on the VIX option volume initiated by buyers to open new positions. We show that the put–call ratio negatively predicts the subsequent changes in the VIX index. The predictability is stronger during periods of elevated VIX levels and for short‐dated contracts. These results support the hypothesis that informed traders use the VIX option market as a venue for their trading.