Statistics of VIX & VSTOXX Futures with Applications to Trading Volatility Exchange-Traded Products


We study the dynamics of both VIX and VSOTXX futures and ETNs/ETFs. We find that contrary to classical commodities, futures curves for VIX and VSTOXX exhibit large volatility and skewness, consistent with the absence of... [ view full abstract ]


  1. Andrew Papanicolaou (NYU)

Topic Areas

Exchange-Traded Funds , Stochastic Volatility


FR-A-BU » Variance, Implied Volatility and Pricing (10:00 - Friday, 20th July, Burke Theater)

Presentation Files

The presenter has not uploaded any presentation files.