---
title: Volatility Timing with ETF Options
url: https://www.ml-quant.com/papers/ssrn/4625085/
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 4625085
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4625085
featured: 2023-11-08
citations: unknown
topic: Derivatives & Volatility
---


# Volatility Timing with ETF Options

The study finds that hedge funds' positions in ETF options predict volatility in underlying ETF returns, particularly in nonequity ETFs like fixed income and currency ETFs.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4625085
- Identifier: SSRN 4625085
- Released: 2022-10-19
- First featured: Quant Letter No. 25 (2023-11-08): https://www.ml-quant.com/issues/2023-11-08/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Derivatives & Volatility

## Related

- [Currency Exchange Rate Volatility and Prices in Indonesia](https://www.ml-quant.com/papers/ssrn/4935428/): Research shows significant interactions between gold and coal prices, exchange rates, and interest rates on Indonesian stock mutual funds from 2019-2022.
- [Optimal fees in hedge funds with first-loss compensation](https://www.ml-quant.com/papers/doi/10-1016-j-jbankfin-2020-105884/): The research suggests alternative fee schemes for hedge funds, arguing that traditional management and performance fees are suboptimal and that the recommended schemes reduce the fund's volatility.
- [Do Hedge Funds Exploit Material Nonpublic Information? Evidence from Corporate Bankruptcies](https://www.ml-quant.com/papers/ssrn/4572759/): The article reveals that hedge funds use nonpublic information to profit from trades in securities of firms linked to a bankrupt company they serve on the unsecured creditors committee.
- [CVA Hedging by Risk-Averse Stochastic-Horizon Reinforcement Learning](https://www.ml-quant.com/papers/ssrn/4673150/): The study uses risk-averse Reinforcement Learning for managing potential credit losses on a derivatives portfolio, proving its effectiveness through a numerical study for a portfolio consisting of a single FX forward contract.
- [Short-Selling Hedge Funds](https://www.ml-quant.com/papers/ssrn/4764190/): Hedge funds involved in short-selling show superior performance and unique trading patterns, often trading against retail trading trends, contributing to their exceptional performance.
- [Common Ownership and Hedge Fund Activism: An Unholy Alliance?](https://www.ml-quant.com/papers/ssrn/4835079/): The study suggests that common ownership can lead to anticompetitive outcomes, such as reduced wages and wealth transfer to shareholders.