{"title":"波动率指数的操纵减少了吗?","authors":"T. Baumgartner, Andre Guettler","doi":"10.2139/ssrn.3874249","DOIUrl":null,"url":null,"abstract":"Manipulation in the VIX settlement can cause significant losses to investors. Analysing high-frequency data, we present indications of VIX manipulation accelerating since 2017. Deviations have an upward direction and average at around 6%. Specific effects accompany settlement days. The put/call ratio of underlying options surges by 10.9%. A time series decomposition demonstrates that this difference exceeds the day-specific variations of all other days by 80%. Data on open interest point towards leveraged funds, who systematically gather additional exposure in the seven days before settlement. All other players seem to reduce their VIX exposure before settlement. After 2017, the market seems to accustom itself and incorporate deviations more easily.","PeriodicalId":293888,"journal":{"name":"Econometric Modeling: Derivatives eJournal","volume":"19 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2021-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Has Manipulation in the VIX Decreased?\",\"authors\":\"T. Baumgartner, Andre Guettler\",\"doi\":\"10.2139/ssrn.3874249\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Manipulation in the VIX settlement can cause significant losses to investors. Analysing high-frequency data, we present indications of VIX manipulation accelerating since 2017. Deviations have an upward direction and average at around 6%. Specific effects accompany settlement days. The put/call ratio of underlying options surges by 10.9%. A time series decomposition demonstrates that this difference exceeds the day-specific variations of all other days by 80%. Data on open interest point towards leveraged funds, who systematically gather additional exposure in the seven days before settlement. All other players seem to reduce their VIX exposure before settlement. After 2017, the market seems to accustom itself and incorporate deviations more easily.\",\"PeriodicalId\":293888,\"journal\":{\"name\":\"Econometric Modeling: Derivatives eJournal\",\"volume\":\"19 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2021-08-30\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Econometric Modeling: Derivatives eJournal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3874249\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Econometric Modeling: Derivatives eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3874249","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Manipulation in the VIX settlement can cause significant losses to investors. Analysing high-frequency data, we present indications of VIX manipulation accelerating since 2017. Deviations have an upward direction and average at around 6%. Specific effects accompany settlement days. The put/call ratio of underlying options surges by 10.9%. A time series decomposition demonstrates that this difference exceeds the day-specific variations of all other days by 80%. Data on open interest point towards leveraged funds, who systematically gather additional exposure in the seven days before settlement. All other players seem to reduce their VIX exposure before settlement. After 2017, the market seems to accustom itself and incorporate deviations more easily.
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