Examining The Evidence On VIX Manipulation

By Ran Wei, Edi Grgeta, Ging Cee Ng and Brendan Perry ( May 15, 2019, 4:50 PM EDT) -- An ongoing multidistrict litigation alleges manipulation of the formula used to determine the settlement price for derivatives based on the Chicago Board Options Exchange's volatility index, known as the VIX. The litigation followed on an academic paper[1] suggesting that the value of derivatives based on the VIX could be manipulated on their settlement days through trades in underlying S&P 500 options....

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