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 …

The study attempts to examine if there is any shift in the price discovery behavior of spot and futures markets between … pre-crisis period and post-crisis period. All those stocks which are available for trading in futures segment since the … launch of futures trading on November 9, 2001 to December 31, 2018 have been considered for the purpose of the study so as to …

hedging in markets for futures and higher-order derivatives. We supplement the vast statistical analysis of volatility …We explain the evolution of the volatility market and present the infamous day of 'Volmageddon' as an insightful case … study. Our survey focuses on the pricing and trading of volatility linked assets, highlighting the impact of mechanical …

stability. A case in point is the abrupt market crash of short volatility strategies on February 5th 2018. In this paper, we …