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For week's I've been searching for an interesting undergrad Thesis in finance. I have some things in mind, but I don't want to leave outany opportunity for inspiration, so: Is there an interesting research topic that jumps to your mind regarding the VIX, maybe also the new SPIKES-Index? (beside pricing, factorization, etc.)

Thanks in advance.

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    $\begingroup$ look at gamma imbalance. Seems pretty popular. $\endgroup$ – AK88 Nov 27 '19 at 23:47
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    $\begingroup$ SPIKES seems to me like a "me-too" product with little new to offer $\endgroup$ – Alex C Nov 28 '19 at 2:20
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Is the VIX fit for purpose; and thus are VIX futures a financial porn abomination, f***ed up squa... powered?

What should the optimal volatility product look like first-order theoretical principles? What should the optimal volatility product look like from hedging and liquidity principles? How in hell should one even think about a first-pass sensible guess at the trade-offs here?

Nobody will punish you for any half-sensible answer to any of the great imponderables... VIX futures, cum short ETFs, spirally gambler-ruined the short-side on one day in Feb18... what's the intelligence in data-mining the unfit-for-purpose? Is there a more hedgible idea for options vol than VIX?

Else go for the "money shot", explaining VVIX (ie the implied vol on VIX options). Else "why does the beta of theta time-vary?" Else propose a hedgable way to trade Gamma, GAMMADIX. THETAIX?

Else recall that ordinary investors are long stocks. Which is long futures plus cash. Which is synthetically long call, short put, plus cash. If you can't derive some interesting observations from that in terms of optionality versus traditional economic risk-asset pricing, something's gone wrong... what is the optionality of the "equity risk premium"?

plenty of food for potential thought here.

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You've already asked this question once and received some answers. Typically at the undergrad level a thesis is a topic that may have come up that you want to go a bit deeper on. Sounds like you have that, why not talk to your advisor, or simply a professor, about what you're thinking and see if they have thoughts about what related questions might merit further exploration.

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  • $\begingroup$ Thanks a lot for your comment. Unfortunately at my university you have to come up with a topic on your own without the professor's help, which makes it hard to find a topic that is interesting and also has the right degree of difficulty. $\endgroup$ – MikeHeimlich Nov 29 '19 at 9:48

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