Volatility Timing with ETF Options
The study finds that hedge funds' positions in ETF options predict volatility in underlying ETF returns, particularly in nonequity ETFs like fixed income and currency ETFs.
Featured in No. 25 on 8 Nov 2023 ·
- Released
- 19 Oct 2022
- First featured
- No. 25 · 8 Nov 2023
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 4625085
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).