“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 of the the t makes it a target for manipulation, which has become increasingly common in recent years. Cases investigating...
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