Ebook36 pages49 minutes
Market Manipulation in the VIX. Are illiquid options regularly used to manipulate the cash settlement?
Rating: 0 out of 5 stars
()
About this ebook
This book investigates market manipulation in the volatility index VIX. The VIX is known as fear-gauge of the US stock market and its derivatives are an established hedge against negative market sentiment. Characteristically, the VIX is an index whose value is computed by a special formula based on relatively illiquid S&P 500 options. In contrast, derivatives on the VIX are heavily traded and are settled in cash once a month based on option prices determined in an auction. This short time frame makes the VIX vulnerable as manipulators can move the underlying option prices to an abnormal price level on purpose to receive an artificially high cash settlement. This book explores approaches to make the effects of manipulation measurable. For this purpose, four measures are deduced. The measures are based on the index fluctuation range, its intraday deviations from the opening value, the put/call ratio of the underlying options and their trading volume. The empirical results reveal strong indications of manipulation. The analysis is concluded by a discussion of alternative explanations of the results observed and a sketch on how to impede manipulation or change the VIX structure.
Related to Market Manipulation in the VIX. Are illiquid options regularly used to manipulate the cash settlement?
Related ebooks
Exchange Rate Determination Puzzle: Long Run Behavior and Short Run Dynamics Rating: 0 out of 5 stars0 ratingsFinancial Markets and Trading: An Introduction to Market Microstructure and Trading Strategies Rating: 4 out of 5 stars4/5Market Microstructure: Confronting Many Viewpoints Rating: 0 out of 5 stars0 ratingsAsset Pricing: Revised Edition Rating: 4 out of 5 stars4/5Option Market Making : Part 1, An Introduction: Extrinsiq Advanced Options Trading Guides, #3 Rating: 0 out of 5 stars0 ratingsThe Greeks and Hedging Explained Rating: 0 out of 5 stars0 ratingsThe Volatility Course Workbook: Step-by-Step Exercises to Help You Master The Volatility Course Rating: 0 out of 5 stars0 ratingsKeene on the Market: Trade to Win Using Unusual Options Activity, Volatility, and Earnings Rating: 0 out of 5 stars0 ratingsPairs Trading: Quantitative Methods and Analysis Rating: 3 out of 5 stars3/5The Nature of Trends: Strategies and Concepts for Successful Investing and Trading Rating: 0 out of 5 stars0 ratingsHigh-Frequency Trading and Dark Pools: The Complexity of Financial Markets Rating: 0 out of 5 stars0 ratingsCommodity Fundamentals: How To Trade the Precious Metals, Energy, Grain, and Tropical Commodity Markets Rating: 0 out of 5 stars0 ratingsTrading Implied Volatility: Extrinsiq Advanced Options Trading Guides, #4 Rating: 4 out of 5 stars4/5Positional Option Trading: An Advanced Guide Rating: 0 out of 5 stars0 ratingsExotic Options Trading Rating: 5 out of 5 stars5/5Sector Trading Strategies Rating: 5 out of 5 stars5/5The Market Taker's Edge: Insider Strategies from the Options Trading Floor Rating: 0 out of 5 stars0 ratingsHow to Price and Trade Options: Identify, Analyze, and Execute the Best Trade Probabilities, + Website Rating: 0 out of 5 stars0 ratingsThe High Frequency Game Changer: How Automated Trading Strategies Have Revolutionized the Markets Rating: 0 out of 5 stars0 ratingsLong/Short Market Dynamics: Trading Strategies for Today's Markets Rating: 0 out of 5 stars0 ratingsAlpha Trading: Profitable Strategies That Remove Directional Risk Rating: 2 out of 5 stars2/5The Emid Report on Volatility 2019 Rating: 0 out of 5 stars0 ratingsInterest Rate Swaps and Their Derivatives: A Practitioner's Guide Rating: 0 out of 5 stars0 ratingsThe Complete Options Trader: A Strategic Reference for Derivatives Profits Rating: 0 out of 5 stars0 ratingsONE-WAY POCKETS: The Book of Books on Wall Street Speculation Rating: 0 out of 5 stars0 ratingsMultiple Time Frame Analysis for Beginner Traders Rating: 1 out of 5 stars1/5How the Trading Floor Really Works Rating: 4 out of 5 stars4/5Trading Weekly Options: Pricing Characteristics and Short-Term Trading Strategies Rating: 0 out of 5 stars0 ratings
Industries For You
Fast Food Nation: The Dark Side of the All-American Meal Rating: 0 out of 5 stars0 ratingsYouTube 101: The Ultimate Guide to Start a Successful YouTube channel Rating: 5 out of 5 stars5/5Sleight of Mouth: The Magic of Conversational Belief Change Rating: 5 out of 5 stars5/5YouTube Secrets: The Ultimate Guide to Growing Your Following and Making Money as a Video I Rating: 5 out of 5 stars5/5Powerhouse: The Untold Story of Hollywood's Creative Artists Agency Rating: 4 out of 5 stars4/5Music Law: How to Run Your Band's Business Rating: 0 out of 5 stars0 ratingsEnergy: A Beginner's Guide Rating: 4 out of 5 stars4/5INSPIRED: How to Create Tech Products Customers Love Rating: 5 out of 5 stars5/5Shopify For Dummies Rating: 0 out of 5 stars0 ratingsBottle of Lies: The Inside Story of the Generic Drug Boom Rating: 4 out of 5 stars4/5Artpreneur: The Step-by-Step Guide to Making a Sustainable Living From Your Creativity Rating: 2 out of 5 stars2/5The House of Gucci: A True Story of Murder, Madness, Glamour, and Greed Rating: 4 out of 5 stars4/5Disney's Land: Walt Disney and the Invention of the Amusement Park That Changed the World Rating: 4 out of 5 stars4/5The Best Story Wins: How to Leverage Hollywood Storytelling in Business & Beyond Rating: 5 out of 5 stars5/5Weird Things Customers Say in Bookstores Rating: 5 out of 5 stars5/5Bad Pharma: How Drug Companies Mislead Doctors and Harm Patients Rating: 4 out of 5 stars4/5The Market Gardener: A Successful Grower's Handbook for Small-Scale Organic Farming Rating: 4 out of 5 stars4/5A Study of the Federal Reserve and its Secrets Rating: 4 out of 5 stars4/5Pharma: Greed, Lies, and the Poisoning of America Rating: 5 out of 5 stars5/5Excellence Wins: A No-Nonsense Guide to Becoming the Best in a World of Compromise Rating: 5 out of 5 stars5/5How We Do Harm: A Doctor Breaks Ranks About Being Sick in America Rating: 4 out of 5 stars4/5All the Beauty in the World: The Metropolitan Museum of Art and Me Rating: 4 out of 5 stars4/5Sweet Success: A Simple Recipe to Turn your Passion into Profit Rating: 5 out of 5 stars5/5
Reviews for Market Manipulation in the VIX. Are illiquid options regularly used to manipulate the cash settlement?
Rating: 0 out of 5 stars
0 ratings
0 ratings0 reviews
Book preview
Market Manipulation in the VIX. Are illiquid options regularly used to manipulate the cash settlement? - Tim Maximilian Baumgartner
Enjoying the preview?
Page 1 of 1