---
title: Exploiting VIX Distortions
url: https://www.ml-quant.com/papers/repec/taf-ufajxx-v-78-y-2022-i-2-p-79-95/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: RePEc:taf:ufajxx:v:78:y:2022:i:2:p:79-95
source_url: https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Fhdl.handle.net%2F10.1080%2F0015198X.2022.2034468%3Bh%3Drepec%3Ataf%3Aufajxx%3Av%3A78%3Ay%3A2022%3Ai%3A2%3Ap%3A79-95
featured: 2024-08-15
citations: unknown
topic: Derivatives & Volatility
---


# Exploiting VIX Distortions

Long-term exposure to high market volatility can lead to underestimation of volatility, creating predictable stock returns; a strategy capitalizing on this can beat a standard index portfolio.

- Source: https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Fhdl.handle.net%2F10.1080%2F0015198X.2022.2034468%3Bh%3Drepec%3Ataf%3Aufajxx%3Av%3A78%3Ay%3A2022%3Ai%3A2%3Ap%3A79-95
- Identifier: RePEc:taf:ufajxx:v:78:y:2022:i:2:p:79-95
- Released: 2022-11-23
- First featured: Quant Letter No. 61 (2024-08-15): https://www.ml-quant.com/issues/2024-08-15/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Derivatives & Volatility

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