Huang, Darien; Schlag, Christian; Shaliastovich, Ivan; … - 2018
time-series of index and VIX option returns, beyond volatility risk itself. Volatility and volatility …-of-volatility measures, identified modelfree from the option price data as the VIX and VVIX indices, respectively, are only weakly related to … each other. Delta-hedged index and VIX option returns are negative on average, and are more negative for strategies which …