VIX option‐implied volatility slope and VIX futures returns
研究了VIX期权隐含波动率斜率的期限结构动态，发现该斜率能预测VIX期货未来一天至一个月的收益，且预测能力优于现有投资者情绪指标。
Abstract This paper documents the dynamics of the term structure of the implied volatility (IV) smirk of Chicago Board Options Exchange Volatility Index (VIX) options. Empirical analysis shows that VIX option–IV slope predicts VIX futures returns over the next day to month, outperforms existing investors' perception proxies in the stock and option markets. The empirical finding is rationalized through time‐varying correlation between the VIX and volatility of VIX (VVIX), VIX jumps, and investors' net positions in VIX futures market.