%0 Journal Article
%J Journal of Empirical Finance
%D 2021
%T Trader Positions in VIX Futures
%A Chen,Yu-Lun
%A Yang,Jimmy
%K Finance
%X 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.
%B Journal of Empirical Finance
%V 61
%P 1-17
%8 2021
%G eng
%N March
%2 a
%4 184512481280
%$ 184512481280