---
title: VIX and SPX Futures Lead-Lag Relationship
url: https://www.ml-quant.com/papers/repec/eee-finmar-v-67-y-2024-i-c-s1386418123000496/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: RePEc:eee:finmar:v:67:y:2024:i:c:s1386418123000496
source_url: https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Fwww.sciencedirect.com%2Fscience%2Farticle%2Fpii%2FS1386418123000496%3Bh%3Drepec%3Aeee%3Afinmar%3Av%3A67%3Ay%3A2024%3Ai%3Ac%3As1386418123000496
featured: 2024-02-07
citations: unknown
topic: Derivatives & Volatility
---


# VIX and SPX Futures Lead-Lag Relationship

The study investigates the relationship between VIX futures and SPX futures, discovering a strong negative correlation when volatility is high, with VIX futures leading, and that market liquidity and hedging activities influence this relationship.

- Source: https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Fwww.sciencedirect.com%2Fscience%2Farticle%2Fpii%2FS1386418123000496%3Bh%3Drepec%3Aeee%3Afinmar%3Av%3A67%3Ay%3A2024%3Ai%3Ac%3As1386418123000496
- Identifier: RePEc:eee:finmar:v:67:y:2024:i:c:s1386418123000496
- Released: 2024-02-07
- First featured: Quant Letter No. 36 (2024-02-07): https://www.ml-quant.com/issues/2024-02-07/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Derivatives & Volatility

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