Padungsaksawasdi, Chaiyuth; Daigler, Robert T. - In: Journal of Futures Markets 34 (2014) 3, pp. 261-281
We examine the return‐implied volatility relation by employing “commodity” option VIXs for the euro, gold, and oil. This relation is substantially weaker than for stock indexes. We propose several potential reasons for these unusually weak results. Also, gold possesses an unusual positive...