Briefings
Week InReview: April 27, 2018
- By: admin
- On: 04/27/2018 12:10:51
- In: 2018 Briefings
Wagging the VIX A Bank of England 'Bank Underground' blog post indicates that exchange-traded products - whether they bet for or against volatility - magnify the effect of volatility: "When volatility spikes, issuers of leveraged VIX ETPs have to rebalance at the end of the day by buying large amounts of VIX futures. Perhaps somewhat counterintuitively, rebalancing flows are procyclical regardless of whether the ETP benefits from rising or falling volatility - issuers of both types of ETPs have to rebalance in a way which amplifies initial moves in volatility."
Is the tail wagging the dog? The impact of VIX exchange traded products on equity volatility
Is the tail wagging the dog? The impact of VIX exchange traded products on equity volatility
Read entire Week InReview: April 27, 2018