---
title: Volatility Demand in Market Turmoil
url: https://www.ml-quant.com/papers/ssrn/5052438/
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: SSRN 5052438
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5052438
featured: 2024-12-12
citations: unknown
topic: Derivatives & Volatility
---


# Volatility Demand in Market Turmoil

The study resolves the paradox of end users reducing their VIX call options during market downturns by examining the demand curves for market makers and end users, emphasizing the market makers' role in market equilibrium.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5052438
- Identifier: SSRN 5052438
- Released: 2024-12-11
- First featured: Quant Letter No. 78 (2024-12-12): https://www.ml-quant.com/issues/2024-12-12/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Derivatives & Volatility

## Related

- [Filling in Missing FX Implied Volatilities with Uncertainties: Improving VAE-Based Volatility Imputation](https://www.ml-quant.com/papers/arxiv/2411.05998/): The study explores enhancing the prediction of missing implied volatilities in FX options using modified variational autoencoders (VAEs), which better manage data uncertainty.
- [Volatility Parametrizations with Random Coefficients: Analytic Flexibility for Implied Volatility Surfaces](https://www.ml-quant.com/papers/arxiv/2411.04041/): The article suggests an arbitrage-free framework for randomizing parameters from the parametric implied volatility formula, improving existing parametrizations and expanding the range of acceptable implied volatilities shapes, proving especially effective in modeling the implied volatility curves of short expiry options before an earnings announcement.
- [VIX options in the SABR model](https://www.ml-quant.com/papers/arxiv/2501.06398/): The pricing of VIX options in the SABR model is examined, revealing infinite VIX futures and call prices, and suggesting a capped volatility process as a solution.
- [Beyond the Traditional VIX: A Novel Approach to Identifying Uncertainty Shocks in Financial Markets](https://www.ml-quant.com/papers/arxiv/2411.02804/): The article presents a new method for detecting uncertainty shocks in financial markets by modifying the Volatility Index (VIX), resulting in a more precise volatility measure.
- [Neural Term Structure of Additive Process for Option Pricing](https://www.ml-quant.com/papers/arxiv/2408.01642/): The research introduces the neural term structure model for option pricing, providing benefits in creating the risk-neutral measure, pricing formula, and fitting the implied volatility surface.
- [Tighter 'uniform bounds for Black-Scholes implied volatility' and the applications to root-finding](https://www.ml-quant.com/papers/arxiv/2302.08758/): A new algorithm has been introduced that uses option delta to improve the accuracy of the Black-Scholes implied volatility, offering a better solution than the commonly used Newton-Raphson algorithm.