中介机构在衍生品市场中的作用：来自 VIX 期权的证据

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Empirical Finance Pub Date : 2024-03-15 DOI:10.1016/j.jempfin.2024.101492

Kris Jacobs , Anh Thu Mai

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引用次数: 0

摘要

期权净需求与 VIX 看跌期权和看涨期权市场的期权价格呈正相关关系，这与中介机构吸收终端用户的需求压力并通过改变价格做出反应的模型是一致的。VIX 和 SPX 期权市场是一体化的：做市商吸收终端用户的波动率净多头头寸，净需求影响着各市场的价格。流动性最强市场的净需求变化会导致 VIX 和 SPX 市场之间的溢出效应。对价格和净需求的动态分析表明，VIX 期权市场和 SPX 看跌期权市场是一体化的，而 SPX 看涨期权市场则更加分散。

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The role of intermediaries in derivatives markets: Evidence from VIX options

Consistent with models of intermediaries who absorb demand pressure from end-users and respond by changing prices, net option demand is positively related to option prices in the market for VIX puts and calls. VIX and SPX option markets are integrated: market-makers absorb end-users’ net long volatility positions and net demand affects prices across markets. Net demand changes in the most liquid markets result in spillover effects between the VIX and SPX markets. A dynamic characterization of prices and net demand suggests that VIX option markets and the SPX put market are integrated, while the SPX call market is more segregated.

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来源期刊

Journal of Empirical Finance Multiple-

CiteScore

3.40

自引率

3.80%

发文量

期刊介绍： The Journal of Empirical Finance is a financial economics journal whose aim is to publish high quality articles in empirical finance. Empirical finance is interpreted broadly to include any type of empirical work in financial economics, financial econometrics, and also theoretical work with clear empirical implications, even when there is no empirical analysis. The Journal welcomes articles in all fields of finance, such as asset pricing, corporate finance, financial econometrics, banking, international finance, microstructure, behavioural finance, etc. The Editorial Team is willing to take risks on innovative research, controversial papers, and unusual approaches. We are also particularly interested in work produced by young scholars. The composition of the editorial board reflects such goals.