growing use of derivative instruments on the stability of the financial markets and the effectiveness ofmonetary policy … instance, futures or forward rates - by construction also contain information on the expected price or rate fluctuations of the …

, 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. …

VIX futures prices rose slowly in late February and early March 2020 as the COVID-19 pandemic took hold. Futures price … premiums, defined as futures prices minus real-time statistical forecasts of future VIX values, turned sharply negative and … market volatility and equity market crash. The underreaction of futures prices to growing pandemic risks poses a puzzle for …