Elasticity dynamics between VIX futures and ETPs: a quantile regression analysis of intraday and closing market behavior

Purpose The authors investigate the elasticity between VIX exchange traded products (ETPs)–including ETNs (VXX, XIV and TVIX) and ETFs (VIXY, SVXY and UVXY)–and VIX Futures. Design/methodology/approach This study applies quantile regression to uncover nonlinear elasticity dynamics in the daily price interactions between ETPs and Futures. Findings Employing decile regressions on the S&P 500 VIX Short-Term Total Return Index (SPVXSTR), the authors find that elasticity of VIX Futures to ETP prices is lower at market close but higher intraday, potentially due to liquidity differences, with peaks at the distribution’s extremes at close. VXX exhibits significantly higher elasticity than VIXY, likely due to its dominant, unhedged note structure, while XIV and SVXY show similar elasticity, and TVIX’s elasticity is half that of UVXY, reflecting its reduced leverage. These findings suggest that intraday liquidity amplifies futures responsiveness, with implications for hedging strategies during volatile closes and portfolio construction favoring dominant instruments such as VXX. Originality/value The linear relations between VIX ETPs and VIX Futures are well documented in the literature using mean-regression approaches, here estimated elasticities are assumed constant across the distribution of VIX Futures and ETPs. This study extends the analysis by employing quantile regression to capture quantile-specific elasticities, allowing for a more nuanced examination of inverse and leveraged products, where elasticity dynamics remain largely unexplored.