---
title: VIX and SPX Futures: Lead-Lag Relationship
url: https://www.ml-quant.com/papers/ssrn/4488912/
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: SSRN 4488912
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4488912
featured: 2023-06-28
citations: unknown
topic: Derivatives & Volatility
---


# VIX and SPX Futures: Lead-Lag Relationship

Lead-Lag Relationship: VIX futures lead SPX futures in high volatility, but trading strategies are unprofitable due to transaction costs.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4488912
- Identifier: SSRN 4488912
- Released: 2022-03-16
- First featured: Quant Letter No. 5 (2023-06-28): https://www.ml-quant.com/issues/2023-06-28/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Derivatives & Volatility

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