VIX選擇權隱含價差與未來VIX指數變動之關係

Abstract

This study focuses on the relationship between implied VIX spread of VIX options and future change of VIX index. Implied VIX spreads are calculated from Put-Call Parity, besides, in this study, we offer three methods: the simple average, the weighted mean, and the nearest maturity and the closet at-the-money methods to get daily implied VIX spread. And we incorporate the implied VIX spread in ARIMA(1,1,1) and probit models with other economic variables to see whether it could improve the accuracy of forecast. According to our empirical result, the implied VIX spread is statistically significantly and it can strengthen prediction of VIX. Furthermore, we construct a naïve trading strategy based on the forecasting results, although gaining positive excess returns, we bear quite large risk.