Study: VIX Settlement Data Shows Manipulation At Work

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Rupert Hargreaves
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Updated on
VIX manipulation

“The VIX settlement appears susceptible to manipulation, and that the aggregate evidence aligns itself with what one would expect to see in the case of market manipulation of certain settlements,”  according to a new research paper from researchers John M. Griffin and Amin Shams in a nutshell there is evidence of VIX manipulation. The VIX Index is constructed using the implied volatilities of a wide range of S&P 500 index options, which together show the market’s expectations of 30-day volatility. This index is used to calculate prices for a host of other financial instruments and hedging strategies. The widespread use…

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Sign up now and get our in-depth FREE e-books on famous investors like Klarman, Dalio, Schloss, Munger Rupert is a committed value investor and regularly writes and invests following the principles set out by Benjamin Graham. He is the editor and co-owner of Hidden Value Stocks, a quarterly investment newsletter aimed at institutional investors. Rupert owns shares in Berkshire Hathaway. Rupert holds qualifications from the Chartered Institute For Securities & Investment and the CFA Society of the UK. Rupert covers everything value investing for ValueWalk