Anh Thu Mai

Working Papers

Commonalities and Structural Spillovers in Volatility Markets  (Job Market Paper)

• Presentation: University of Houston (2022) 

I quantify the spillovers between volatility markets by identifying latent market-maker supply and investor demand for volatility in the VIX and S&P 500 index (SPX) option markets. Across volatility markets, latent supply and demand strongly co-move, while the equilibrium net volatility exposures do not. An analysis of multi-market interdependence suggests that supply and demand have a substantial cross-market impact beyond their local market effects. The direction of spillovers is asymmetric: innovations to VIX supply and demand strongly affect SPX equilibrium price and net volatility exposure, more than the other way around. VIX call supply and demand considerably impact the equilibrium in all other markets.

Identifying Demand and Supply in Index Option Markets (with Kris Jacobs and Paola Pederzoli) [Online Appendix]

• Best Paper Award, FMA 2022

• Presentation : FMA (2022), Canadian Derivatives Institute (CDI, 2022),  Cancun Derivatives Workshop (CDW, 2022),  SoFiE Meeting (2022), Eastern Finance Association (EFA, 2022), Midwest Finance Association (MFA, 2022), University of Texas at Dallas, University of Houston, Rice University

We identify latent demand and supply in the market for index options using a VAR with sign restrictions. The time series of latent demand conveys important economic insights that are not evident from the analysis of equilibrium quantities. Using observable proxies for risk, we find that demand shifts right and supply shifts left when risk is high. While the market for ATM options is mainly demand-driven, the market for OTM options is mainly supply-driven. The price impact of trade is much larger than (downward-biased) existing estimates, but market-makers provide substantial liquidity, even during crises. ATM call option demand and OTM call option supply forecast future delta-hedged option returns and S&P 500 returns. 

The Role of Intermediaries in Derivatives Markets: Evidence from VIX Options (with Kris Jacobs) [Online Appendix]

• Revise and Resubmit, Journal of Empirical Finance

• Presentation: Southwestern Finance Association (SWFA, 2021), Midwest Finance Association (MFA, 2021), University of Houston

Consistent with models of intermediaries who absorb demand pressure from end-users and respond by changing prices, net option demand is positively related to option prices in the market for VIX puts and calls. VIX and SPX option markets are integrated: market-makers absorb end-users' net long volatility positions and net demand affects prices across markets. Net demand changes in the most liquid markets result in spillover effects between the VIX and SPX markets. A dynamic characterization of prices and net demand suggests that VIX option markets and the SPX put market are integrated, while the SPX call market is more segregated. 

Work In Progress

Returns and Risk Premia on Commodity Options (with Kris Jacobs and Bingxing Li)

• Presentation: CEMA Meeting (Chicago)

Teaching 

Instructor

Purdue University Northwest

• Financial Management (FIN 310), Fall 2023

University of Houston

• Corporate Finance (FINA 4330), Summer 2022 – Evaluation:  4.8/5.0

Teaching Assistant, University of Houston

• Doctoral: Seminar in Investments (2022)

• Graduate:  Capital Markets (2022); Managerial Finance (2018 - 2022); Fixed Income I (2021); Fixed Income II (2021); Managerial Analysis (Executive MBA, 2019)

• Undergraduate: Investment Management (2021); Principles of Financial Management (2017-2020)