Information Spillover from VIX Options to VIX Futures: the Information Content of Put-Call Ratio and Implied Volatility Skew

Abstract: This paper investigates the predictive power of the information content of VIX options with respect to VIX futures. Two sub-samples of variables are used in the analysis: put-call ratios of daily option volumes and spreads among implied volatilities across different moneyness levels, derived from VIX options prices. The statistical significance and the forecasting accuracy of various predictive models are back-tested through the computation of one-day ahead out-of-sample forecasts, using both expanding and rolling estimation windows. Different statistical indicators are employed to identify the best performing models. The results indicate that put-call ratio and implied volatility skew variables possess predictive power with respect to VIX futures, and their combined inclusion improves the forecasting accuracy.