Cross-impact in Derivative Markets

Trading a financial asset pushes its price as well the prices of other assets, phenomenon known cross-impact. The empirical estimation this effect on complex instruments, such derivatives, is an open problem, tackled in issue?s cover article ?Cross-impact Derivative Markets? by Michael Benzaquen, Mehdi Tomas and Iacopo Mastromatteo. To address this, authors consider setting which derivatives deterministic function stochastic factors where trades both induce impact. Mastromatteo show that specific cross-impact model satisfies key properties make tractable applications. Using E-Mini futures, European call put options VIX estimate our simple framework successfully captures some phenomenology. Benzaquen et al?s for estimating may be used practice hedging costs or building liquidity metrics derivative markets.