Abstract
Consistent with models in which intermediaries absorb net 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 VIX calls. These findings are consistent with existing results for S&P 500 index (SPX) options (Bollen and Whaley (2004)). They are very robust to variations in the empirical implementation. A joint analysis of net demand pressure in VIX and SPX option markets suggests that the VIX option markets are highly integrated with the SPX put market, but much less so with the market for SPX calls. The impact of net demand shocks on future prices is limited, but shocks to prices significantly affect future net demand.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
