{"title":"The role of intermediaries in derivatives markets: Evidence from VIX options","authors":"Kris Jacobs , Anh Thu Mai","doi":"10.1016/j.jempfin.2024.101492","DOIUrl":null,"url":null,"abstract":"<div><p>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.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"77 ","pages":"Article 101492"},"PeriodicalIF":2.1000,"publicationDate":"2024-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Empirical Finance","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0927539824000276","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
Abstract
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.
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.
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