Time-dependent lead-lag relationships between the VIX and VIX futures markets

Abstract

We utilize the symmetric thermal optimal path (TOPS) method to examine the dynamic interaction patterns between the VIX and VIX futures markets. We document that the VIX dominates the VIX futures more in the first few years, especially before the introduction of VIX options. We further observe that the TOPS paths show an alternate lead-lag relationship instead of a dominance between the VIX and VIX futures in most of the time periods. Meanwhile, we find that the VIX futures have been increasingly more important in the price discovery since the launch of several VIX ETPs.

The Time-Dependent Lead-Lag Relationship Between WTI and Brent Crude Oil Spot Markets

“…In this paper, we investigate the time-dependent lead-lag relationship between the Brent and WTI crude oil spot price during 1987-2017 via the symmetric thermal optimal path (TOPS) method developed by Meng et al [17]. The two non-parametric approaches can effectively identify the timedependent lead-lag correlation between two time series, which have been applied to financial market [12,[18][19][20][21][22][23]. The TOPS method is an improved version of the novel thermal optimal path (TOP) method [24][25][26] with smaller biases and higher accuracy.…”

Considering momentum spillover effects via graph neural network in option pricing

“… ReturnsWe aim to investigate whether the returns of options with the same maturity date affect the target option returns. Consistent with Yang and Shao (2020), we employ the logarithmic returns of options as our dependent variable. $$${R{et}{urn}}_{t}^{i}=\mathrm{ln}\left(\frac{{C}_{t}^{i}}{{C}_{t-1}^{i}}\right),$$$where $${C}_{t}^{i}$$ represents the closing price of option $$i$$ at the moment $$t$$. Time to maturityThe option price is comprised of both intrinsic value and time value.…”

Türki̇ye’de Spot Ve Vadeli̇ İşlem Pi̇yasalari Arasinda Bi̇lgi̇ Etki̇nli̇ği̇ Ve Etki̇leşi̇m: Öncül-Ardil İli̇şki̇ler Ve Volati̇li̇te İleti̇mi̇

“…(2019), SSE 50 endeksine dayalı spot, vadeli işlem ve opsiyon sözleşme çiftleri arasında iki yönlü öncülardıl ilişkileri göstermişlerdir. Yang & Shao (2020) VIX endeksine odaklanmış, VIX futures sözleşmelerinin fiyat keşfinde zaman içinde giderek öneminin arttığını tespit etmişlerdir.…”