@article {1975601,
	title = {Trader Positions in VIX Futures},
	journal = {Journal of Empirical Finance},
	volume = {61},
	year = {2021},
	month = {2021},
	pages = {1-17},
	abstract = {We investigate the dynamic changes in trader positions of market participants in the VIX futures markets. We find that in a low-VIX period, below the 23.81 threshold determined by our model, changes in VIX futures affect the trading decisions of dealers and leveraged fund managers, but in an opposite direction. During a high-VIX period, dealers and leveraged fund managers would then alter their trading strategies. We highlight the important role of exchange-traded products trading in hedging demand of dealers and show the impact on VIX futures. Trader positions are determinants of VIX futures prices, basis, and VIX premium.},
	keywords = {Finance},
	author = {Chen,Yu-Lun and Yang,Jimmy}
}