VIX指數選擇權市場的隱含資訊對VIX指數的預測能力

Abstract

本文旨在探討VIX選擇權市場是否隱含能預測VIX指數的資訊。本文使用2008年一月至2010年三月的日間資料，萃取VIX選擇權的報價修正(quote revision)和淨交易量(net trade volume)的時間序列，並採用VAR模型來分析VIX指數報酬率、選擇權的報價修正以及選擇權的淨交易量之間的交互關係。實證研究結果發現，VIX選擇權的報酬率對於未來VIX報酬率有較好的預測能力，而選擇權淨交易量隱含的資訊則相對地較不明顯。另一方面，不論是VIX買權或賣權的淨交易量，即使在排除VIX報酬率、選擇權報酬率的影響後，對於買賣權各自的報價修正仍有預測能力。此外，本文也探討貨幣政策的發佈是否對於VIX選擇權市場的隱含資訊造成影響。實證結果顯示，VIX選擇權市場對於VIX指數的預測能力受貨幣政策發佈的影響不顯著，其中在發佈的日期只有買權的報酬率對於未來的VIX指數和賣權的報酬率有顯著的影響。

In this study we focus on the VIX option market to inspect whether this market is a venue where informed investors are present. We use intraday data from January 2008 to March 2010 to analyze the quote revisions and net trade volume of VIX options and examine their predictive ability for VIX index. Specifically, the interrelationships among VIX index returns, option quote returns and option net trade volume are analyzed using a VAR model. Our results reveal that lagged option returns have some predictive ability for VIX returns, while option net trade volume conveys little information about future VIX returns. On the other hand, both the net trade volume of call and put possess some information on their own quote revisions, even after controlling the influence of quote returns of VIX index, call and put. The impact of monetary announcements is also analyzed in this study and the results show that the ability of option markets to predict VIX index returns is affected slightly, where only lagged call returns relate to subsequent VIX index and put returns on announcement days.