TY  - JOUR
T1  - Trader Positions in VIX Futures
JF  - Journal of Empirical Finance
Y1  - 2021
A1  - Chen,Yu-Lun
A1  - Yang,Jimmy
KW  - Finance
AB  - 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.
VL  - 61
CP  - March
U2  - a
U4  - 184512481280
ID  - 184512481280
ER  -