The claim sounds dubious: the VIX, that index at the center of the stock market’s wild gyrations over the past week, is somehow being manipulated.
That allegation, made to federal authorities by an anonymous whistle-blower, captivated Wall Street on Tuesday, prompting both quick dismissals and more than a few raised eyebrows.
....”In May, researchers at the University of Texas published a paper in which they found evidence the settlement process was being gamed, possibly by people holding derivatives.
The authors, John Griffin and Amin Shams, likened their account of VIX gamesmanship to Libor and currency markets, where traders allegedly manipulated fixings to maximize profits on instruments they held. That study got more traction after an unusual trading session on Dec. 20, when the VIX dropped just as billions of dollars of futures were set to expire, possibly earning money for short sellers.
“People might be concerned that individual players could move the settlement,” said Pravit Chintawongvanich, the head of derivatives strategy at Macro Risk Advisors. “It is a legitimate concern.”
Wonder who the culprit could be ?
