Research Topics on VIX Products, Hedging, and Volatility Risk
Summary
The document offers possible undergraduate research directions related to the VIX and the newer SPIKES index. Suggestions include examining whether the VIX and its futures serve their intended purpose, what a theoretically sound volatility product might look like, and how hedging and liquidity shape product design. It also raises possible study topics involving VVIX, the sensitivity of theta to market conditions, and a proposed index for trading gamma.
The response further connects equity exposure with options by describing stock ownership through equivalent combinations of futures, cash, calls, and puts, and suggests investigating how this optionality relates to the equity risk premium. These are brainstorming prompts rather than developed research plans: the excerpt supplies no hypotheses, methods, datasets, or empirical findings. A second answer recommends discussing a narrowed question with an academic advisor, since the available ideas need scope and feasibility checks before becoming a thesis.
Key ideas
- VIX futures and volatility products can be studied through their purpose, hedging needs, and liquidity trade-offs.
- VVIX and the changing behavior of theta are suggested as possible research topics.
- A gamma-focused trading measure and its hedgeability are proposed as another direction.
- The relationship between equity exposure, option combinations, and the equity risk premium may yield research questions.
- The suggestions are preliminary and need a focused question and feasible research design.
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Full text
# Undergrad Thesis about the VIX # Undergrad Thesis about the VIX For week's I've been searching for an interesting undergrad Thesis in finance. I have some things in mind, but I don't want to leave outany opportunity for inspiration, so: Is there an interesting research topic that jumps to your mind regarding the VIX, maybe also the new SPIKES-Index? (beside pricing, factorization, etc.) Thanks in advance. ## Answer by demully (score 3, accepted) https://quant.stackexchange.com/a/49976 Is the VIX fit for purpose; and thus are VIX futures a financial porn abomination, f***ed up squa... powered? What should the optimal volatility product look like first-order theoretical principles? What should the optimal volatility product look like from hedging and liquidity principles? How in hell should one even think about a first-pass sensible guess at the trade-offs here? Nobody will punish you for any half-sensible answer to any of the great imponderables... VIX futures, cum short ETFs, spirally gambler-ruined the short-side on one day in Feb18... what's the intelligence in data-mining the unfit-for-purpose? Is there a more hedgible idea for options vol than VIX? Else go for the "money shot", explaining VVIX (ie the implied vol on VIX options). Else "why does the beta of theta time-vary?" Else propose a hedgable way to trade Gamma, GAMMADIX. THETAIX? Else recall that ordinary investors are long stocks. Which is long futures plus cash. Which is synthetically long call, short put, plus cash. If you can't derive some interesting observations from that in terms of optionality versus traditional economic risk-asset pricing, something's gone wrong... what is the optionality of the "equity risk premium"? plenty of food for potential thought here. ## Answer by Chris (score 2) https://quant.stackexchange.com/a/49975 You've already asked this question once and received some answers. Typically at the undergrad level a thesis is a topic that may have come up that you want to go a bit deeper on. Sounds like you have that, why not talk to your advisor, or simply a professor, about what you're thinking and see if they have thoughts about what related questions might merit further exploration.
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