Abstract
This paper provides a characterization of the dynamic interactions in the VIX complex, composed of the VIX itself, the term structure of VIX futures, and VIX ETPs. I investigate a model that summarizes the VIX futures term structure using latent factors (level, slope, and curvature) and expand it with the VIX and VIX futures demand stemming from VIX ETPs. I find evidence of VIX ETPs impacting the VIX futures term structure, but no evidence of any impacts on the VIX.
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