I always feel so Roman when I put the ETN symbols in a headline.
From FT Alphaville:
Are VIX ETNs and Vix-related funds influencing the Vix futures curve?
Has the popularity of Vix trading come to impact wider volatility surfaces, if not the S&P 500 options used to construct the Vix index themselves?
Is the Vix tail wagging the implied volatility dog?
Quick answer: it’s possible, but corroborating the theory with cold hard evidence isn’t easy.
That, at least, is the verdict from Tabb Group’s Henry Chien. In a soon to be published report about the structure and effects of volatility trading, seen by FT Alphaville, Chien discusses the realities of these much speculated about effects....MORE