Citation:

Hem Mehta. "The Impact of the Volatility Index (VIX) on Swaps: A Quantitative Analysis" International Research Journal of Economics and Management Studies, Vol. 3, No. 9, pp. 282-288, 2024.

Abstract:

This paper aimed to analyze if there exists any relationship between open interest in the swap market and the CBOE (Chicago Board Options Exchange) Volatility Index after conducting a literature review of the existing work on swaps/swaptions. The paper found a moderate positive correlation between the open interest (which is derived in different cases utilizing the gross notional value, the dollar volume, and the ticket volume) in the swaps market involving entities and repositories registered with the CFTC (Commodities Future Trading Commission) and the volatility index over a period of past two years by utilizing the Karl Pearson’s correlation coefficient. Furthermore, the paper explored various reasons for the findings, such as the utilization of swaps as a hedge against market and credit uncertainty and the cointegration of market risk with credit risk.

References:

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Keywords:

Swaps, VIX, CFTC, Correlation.