We find that, at the daily level, none of the VIX futures Exchange-Traded Products (ETPs) track their intrinsic values perfectly, although the tracking improves at the weekly and monthly frequency. We show that all products tracking deviations are driven by mainly driven by limits to arbitrage, measured by market conditions, liquidity and transaction costs. Exchange-Traded Funds’ (ETFs’) deviations are more significantly related to fund flows, which shows authorized participants taking advantage of arbitrage opportunities by creating/redeeming ETF units. The Exchange-Traded Notes (ETNs) do not have this mechanism, creation and redemption is reliant on the issuers and delayed, so their deviations are less related to flows.

我们发现，尽管在每周和每月的频率上有所改善，但在每天的水平上，没有一个VIX期货交易所交易产品（ETP）能够完美地跟踪其内在价值。我们表明，所有跟踪偏差的产品主要由套利限制驱动，由市场条件，流动性和交易成本衡量。交易所买卖基金（ETF）的偏差与资金流向更相关，这表明授权参与者通过创建/赎回ETF单位来利用套利机会。交易所买卖债券（ETN）没有这种机制，创建和赎回依赖发行者并被延迟，因此它们的偏离与流量的关系较小。