BeVIXed: Trading Fear in the Volatility Complex

Klaus Reiner Schenk-Hoppé; Chakravarthy Varadarajan

doi:10.3390/risks11050086

BeVIXed: Trading Fear in the Volatility Complex

Klaus Reiner Schenk-Hoppé
, Chakravarthy Varadarajan

Economics

Research output: Contribution to journal › Article › peer-review

Abstract

We explain the evolution of the volatility market and present the infamous day of ‘Volmageddon’ as an insightful case study. Our survey focuses on the pricing and trading of volatility-linked assets, highlighting the impact of mechanical hedging in markets for futures and higher-order derivatives. We supplement the vast statistical analysis of volatility derivatives with a financial economist’s perspective.

Original language	English
Article number	86
Journal	Risks
Volume	11
Issue number	5
DOIs	https://doi.org/10.3390/risks11050086
Publication status	Published - 4 May 2023

Access to Document

10.3390/risks11050086

Cite this

@article{bbf8b4f3c7ad4278bec92a770a958d3a,

title = "BeVIXed: Trading Fear in the Volatility Complex",

abstract = "We explain the evolution of the volatility market and present the infamous day of {\textquoteleft}Volmageddon{\textquoteright} as an insightful case study. Our survey focuses on the pricing and trading of volatility-linked assets, highlighting the impact of mechanical hedging in markets for futures and higher-order derivatives. We supplement the vast statistical analysis of volatility derivatives with a financial economist{\textquoteright}s perspective.",

author = "Schenk-Hopp{\'e}, \{Klaus Reiner\} and Chakravarthy Varadarajan",

year = "2023",

month = may,

day = "4",

doi = "10.3390/risks11050086",

language = "English",

volume = "11",

journal = "Risks",

issn = "2227-9091",

publisher = "MDPI",

number = "5",

}

TY - JOUR

T1 - BeVIXed: Trading Fear in the Volatility Complex

AU - Schenk-Hoppé, Klaus Reiner

AU - Varadarajan, Chakravarthy

PY - 2023/5/4

Y1 - 2023/5/4

N2 - We explain the evolution of the volatility market and present the infamous day of ‘Volmageddon’ as an insightful case study. Our survey focuses on the pricing and trading of volatility-linked assets, highlighting the impact of mechanical hedging in markets for futures and higher-order derivatives. We supplement the vast statistical analysis of volatility derivatives with a financial economist’s perspective.

AB - We explain the evolution of the volatility market and present the infamous day of ‘Volmageddon’ as an insightful case study. Our survey focuses on the pricing and trading of volatility-linked assets, highlighting the impact of mechanical hedging in markets for futures and higher-order derivatives. We supplement the vast statistical analysis of volatility derivatives with a financial economist’s perspective.

U2 - 10.3390/risks11050086

DO - 10.3390/risks11050086

M3 - Article

SN - 2227-9091

VL - 11

JO - Risks

JF - Risks

IS - 5

M1 - 86

ER -

BeVIXed: Trading Fear in the Volatility Complex

Abstract

Access to Document

Fingerprint

Cite this