The illiquidity of long-maturity options has made it difficult to study the term structures of option spanning …

, and products, including variance swaps, straddles, and VIX futures. In addition, the paper derives a closed …-form relationship between the prices of variance swaps and VIX futures. While tightly linked, VIX futures exhibit deviations of varying … and their relationship to VIX futures' return predictability. …

-arbitrage restrictions, the prices of VIX futures exhibit significant deviations relative to their option-implied upper bounds. Static … arbitrage opportunities occur when the prices of VIX futures violate their bounds. The deviations widen during periods of market … stress and predict the returns of VIX futures. A relative value trading strategy based on the deviation measure earns a large …

rapidly offset by further trades in the same reference entity, suggesting that hedging of large positions, if taking place … reporting for credit derivatives. -- clearing eligible ; credit derivatives ; dealer hedging ; large trades ; price reporting …

commodities to hedge against commodity price risk. Broker-dealers play an important role in this hedging process because commodity … ; financial intermediaries ; commodity prices ; futures markets ; risk appetite …

literature suggests that even in the absence of any ability to predict returns, holding options positions on the benchmark assets …. The enhancement from holding options can be substantial if the implied volatilities of the options are higher than the … volatilities of the benchmark returns. -- Alpha ; hedge funds ; mutual funds ; portfolio management ; options …

. Nonetheless, we find evidence of dealers hedging rapidly after large interest rate swap trades, suggesting that, for this product …