BeVIXed: Trading Fear in the Volatility Complex-Reference-Cited by-同舟云学术

BeVIXed: Trading Fear in the Volatility Complex

Published:2023-05-04 Issue:5 Volume:11 Page:86
ISSN:2227-9091
Container-title:Risks
language:en
Short-container-title:Risks

Author:

Varadarajan Chakravarthy¹^ORCID,Schenk-Hoppé Klaus R.²³^ORCID

Affiliation:

1. Department of Physics, School of Natural Sciences, University of Manchester, Manchester M13 9PL, UK

2. Department of Economics, School of Social Sciences, University of Manchester, Manchester M13 9PL, UK

3. Department of Finance, NHH–Norwegian School of Economics, 5045 Bergen, Norway

Abstract

We explain the evolution of the volatility market and present the infamous day of ‘Volmageddon’ as an insightful case study. Our survey focuses on the pricing and trading of volatility-linked assets, highlighting the impact of mechanical hedging in markets for futures and higher-order derivatives. We supplement the vast statistical analysis of volatility derivatives with a financial economist’s perspective.

Funder

University of Manchester’s SEI programme

Publisher

MDPI AG

Subject

Strategy and Management,Economics, Econometrics and Finance (miscellaneous),Accounting

Link

https://www.mdpi.com/2227-9091/11/5/86/pdf

Reference25 articles.

1. Volmageddon and the Failure of Short Volatility Products;Augustin;Financial Analysts Journal,2021

2. A Tale of Two Indices;Carr;The Journal of Derivatives,2006

3. CBOE (2022, September 01). VIX White Paper. Available online: https://cdn.cboe.com/api/global/us_indices/governance/Volatility_Index_Methodology_Cboe_Volatility_Index.pdf.

4. CBOE (2022, July 28). Delayed Quotes for SPX Options. Available online: https://www.cboe.com/delayed_quotes/spx/quote_table.

5. Chahal v. Credit Suisse Group AG (2022, October 10). United States Court of Appeals for the Second Circuit, Available online: https://www.govinfo.gov/app/details/USCOURTS-ca2-19-03466.

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