Has the VIX index been manipulated?

Abstract

Recently, an influential academic study and many lawsuits have claimed that the VIX index has been manipulated since 2008. In this paper, we construct a regression model with explanatory variables that are exogenous to the index and examine the model prediction errors. We find that the movements in the daily levels of the VIX index are explained by market fundamentals and not by manipulation. We also specifically examine the VIX futures expiration days and demonstrate that the VIX closing values and VIX futures settlements prices on those days are consistent normal market forces and are not artificial.