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VIX Manipulation Evidence and Analysis by Zerohedge is a document available to read on EtoBox.
What is VIX Manipulation Evidence and Analysis about?
- The authors examine whether manipulation occurs in the market for the VIX volatility index. - They find abnormal spikes in trading volume of out-of-the-money S&P 500 options used to calculate the VIX, just at the monthly settlement time. - Various tests suggest the patterns are inconsistent with liquidity explanations but consistent with strategic manipulation to influence the VIX settlement value for profit.
- Author
- Zerohedge
- Language
- EN