Research Bleg: Commitments of VIX Traders

Thu, Jan 28, 2010 | Jared Woodard

Studies, Volatility

If you hold a position larger than a specified threshold in a futures or options contract that is regulated by the CFTC, your clearing firm must report it and classify your position as either commercial or non-commercial (I prefer the clarity of the old “hedging vs speculative” language, but whatever).  Futures traders have been tracking these reports for years, but I’m not aware of any studies that analyze the history of VIX futures commitments, with the exception of a comment from Jason Goepfert back in June 2009.

If you insist on the existence of “the smart money,” I can’t think of a better group of candidates than firms and individuals with reportable VIX futures positions (pictured). So it’s probably worth looking into whether changes in the commitments of VIX futures traders bear any meaningful relationship to subsequent market returns, volatility, etc. I’m freely publishing this awesome research idea because I’ve been meaning to follow up on it for some time, and still haven’t.

Historical COT reports are available here. If anyone does the legwork and finds something interesting, I’m happy to provide space here to publish the results.

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2 Comments For This Post

  1. Steve Says:

    Thoughtful and literate commentary, tradeable ideas, moment to moment scrutiny of the market and to boot, witty, apropos photos culled from the web…where do you find the time?

  2. Jared Says:

    Ha, thanks – but if I had a little more time, I’d be able to follow through on these research ideas.

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Jared Woodard specializes in trading volatility as an asset class. With over a decade of experience trading options and other volatility products ... Read More

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