Extreme-strike comparisons and structural bounds for SPX and VIX options

Research output: Contribution to journalArticle


This article explores the relationship between the SPX and VIX options markets. High-strike VIX call options are used to hedge tail risk in the SPX, which means that SPX options are a reflection of the extreme-strike asymptotics of VIX options, and vice versa. This relationship can be quantified using moment formulas in a model-free way. Comparisons are made between VIX and SPX implied volatilities along with various examples of stochastic volatility models.

Original languageEnglish (US)
Pages (from-to)401-434
Number of pages34
JournalSIAM Journal on Financial Mathematics
Issue number2
StatePublished - Jan 1 2018



  • Extreme strikes
  • Model free
  • Moment formulas
  • VIX options

ASJC Scopus subject areas

  • Numerical Analysis
  • Finance
  • Applied Mathematics

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