The CBOE S&P 500 three‐month variance futures
Year: 2009
Type: article
Abstract: In this article, we study the market of the Chicago Board Options Exchange S&P 500 three‐month variance futures that were listed on May 18, 2004. By using a simple mean‐reverting stochastic volatility model for the S&P 500 index, we present a linear relation between the price of fixed time‐to‐maturity variance futures and the VIX2. The model prediction is supported by empirical tests. We find that a model with a fixed mean‐reverting speed of 1.2929 and a daily‐calibrated floating long‐term mean level has a good fit to the market data between May 18, 2004, and August 17, 2007. The market price of volatility risk estimated from the 30‐day realized variance and VIX2 has a mean value of −19.1184. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:48–70, 2010
Source: Journal of Futures Markets
DOI: 10.1002/fut.20400
Authors: Jin E. Zhang, Yuqin Huang
Institution: University of Hong Kong
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W3124229059