Volatility Information Trading in the Option Market
β Scribed by SOPHIE X. NI; JUN PAN; ALLEN M. POTESHMAN
- Book ID
- 109176494
- Publisher
- John Wiley and Sons
- Year
- 2008
- Tongue
- English
- Weight
- 208 KB
- Volume
- 63
- Category
- Article
- ISSN
- 0022-1082
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
## Abstract This study analyses the new market for trading volatility; VIX futures. We first use market data to establish the relationship between VIX futures prices and the index itself. We observe that VIX futures and VIX are highly correlated; the term structure of average VIX futures prices is
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