自波動率指數發布以來，國內已有眾多學者進行研究。研究範圍包含利用波動率指數進行股價預測、交易策略的建立、持股部位的避險等多種方向。而國外依據波動率指數，亦發行多檔金融商品供投資人交易。規模較大者，如巴克萊銀行發行的 VXX ETN、ProFunds 發行的 VIXY ETF，而富邦投信亦於 2016 年推出國內首檔 VIX ETF。但是，國外跟蹤波動率指數的商品，其交易溢價平均在 1% 以內，而富邦發行的 VIX ETF，2019 年平均溢價卻將近 7%。本文試著透過絕對溢價、布林通道、動能策略三種方式，來做套利嘗試，並以夏普比率 (Sharpe ratio) 來比較三種策略優劣。實證結果發現，以絕對溢價策略來做套利，績效優於其他二者。

Since the release of the volatility index, many domestic scholars have continued to research. The research scope includes the use of volatility index for stock price prediction, the establishment of trading strategies, hedging of stock holding positions and other directions. Based on the volatility index, foreign countries also issue multiple financial products for investors to trade. Larger ones, such as VXX ETN issued by Barclays Bank and VIXY ETF issued by ProFunds, and Fubon Investment also launched the first domestic VIX ETF in 2016. However, the ETFs that track volatility index abroad have an average transaction premium of less than 1%, while the VIX ETF issued by Fubon has an average premium of nearly 7% in 2019. This article attempts to make arbitrage through the three methods of absolute premium, Bollinger Bands, and momentum strategies, and compares the advantages and disadvantages of the three strategies by Sharpe ratio. The empirical results found that the absolute premium strategy for arbitrage is better than the other two.

中文部分
1. 呂瑞秋與陳淑華 (2012)，「黃金價格與股價指數、石油價格及波動率指數關係之研究」，《臺灣銀行季刊》，第六十三卷第二期，131-148。
2. 周聖淵 (2012)，「恐慌指數交易策略在股市之實證研究」，碩士論文，南投:國立暨南國際大學經營管理研究所。
3. 洪瑞成，邱建良，與葉宗翰 (2018)，「VIX期貨與VIX交易所交易商品價格發現的實證研究」，《期貨與選擇權學刊》，第十一卷
第一期，39-68。
4. 黃呈耀 (2014) ，「恐慌指數(VIX)與匯率的關係」，碩士論文，台北: 國立政治大學經營管理研究所。
5. 黃玉芳 (2014)，「共移效果、多重結構改變及預測— 波動指數相關研究」，博士論文，桃園市:中原大學經營管理研究所。

英文部分
1. Dondoni, Alberto, Montagna, Dennis, & Maggi, Mario. (2018). VIX Index Strategies: Shorting Volatility As a Portfolio Enhancing Strategy. Available at SSRN 3104407.
2. Kucharczyk, Daniel, Osterrieder, Joerg, Rudolf, Silas, & Wittwer, Daniel. (2018). Neural Networks and Arbitrage in the VIX–A Deep Learning Approach for the VIX. Available at SSRN 3305686.