Carbon VIX: Carbon Price Uncertainty and Decarbonization Investments

with Maximilian Fuchs and Johannes Stroebel 

Forthcoming at the Journal of Financial Economics

Does policy uncertainty shape real climate investment?
We build a market-based measure of carbon-price uncertainty and show that uncertainty discourages decarbonization investment. 

Featured in VoxEu, NBER, CEPR
Video: Virtual Derivatives Workshop
Data: carbonvix.org

The Derivative Payoff Bias
with Guido Baltussen  and Paul Whelan 

Revision requested at the Review of Financial Studies

Can market design create systematic transfers between investors?
We show that settlement rules and intermediary hedging make many index-derivative payoffs predictably biased, shifting billions of dollars across investors each year. 

Featured in Bloomberg, Barrons, Risk 

Intermediary Option Pricing

Do intermediary constraints affect risk premia?
I show that dealers’ exposure to unhedgeable overnight equity risk helps explain when and where option risk premia arise.

Hedging Flows Around Events (2026)
draft available upon request

Derivative dealers inventory hedging creates systematic and predictable equity trade flows around economic events.