level on the variance of futures’ return volatility. Based on the empirical results, we find the level of macroeconomic … variables has a significant impact on the volatility of Chinese futures´ return. The influence of the macroeconomic level factor … on the futures´ return volatility is statistically significant. …

replacement of a real security by synthetic strategies may in itself cause enough uncertainty about the price volatility of the … securities ("cash") and index futures to synthesize a European put on the underlying portfolio. In the absence of a real traded … volatility associated with current dynamic hedging strategies. There will thus be less information transmitted to those people …

16:00) generally increases the variability of implied volatility spreads between puts and calls. In addition, it results … in considerable distortions at the outbreak of the COVID-19 pandemic and strongly affects aggregate implied volatility …

We analyze the lead-lag relationship between VIX futures and SPX futures on a sample of high-frequency data. We find … that the two futures markets are weakly connected when market volatility is low. In contrast, when volatility is high …, their prices are highly negatively correlated and with the VIX futures leading the SPX futures. We study the determinants of …