The authors thank the editor Will Cong, the associate editor, and four referees for their valuable feedback. The authors are also grateful for comments and helpful suggestions from Carol Alexander, Anne Dyhrberg, Alex Ferko, Sean Foley, Nicola Fusari, Louis Gagnon, Franz Hinzen, Jiasun Li, Dmitryi Muravyev, Esen Onur, Andreas Park, Christine A. Parlour, Neil Pearson, Michael A. Penick, Kirill Shakhnov, Fahad Saleh, Amin Shams, Bruce Tuckman, Wanyi Wang, Jordan Weide, Peter Zimmermann, and Marius Zoican as well as participants in seminars and conferences sponsored by the University of Luxembourg, the Northern Illinois University, the 2022 Midwest Finance Association, the 2021 Hogeg Blockchain Research Institute Conference, the Fourth University of Western Australia Blockchain and Cryptocurrency Conference, the 14th Annual Risk Management Conference at the National University of Singapore, the Commodity Futures Trading Commission, the 2021 Conference on Derivatives and Volatility, University Blockchain Research Initiative Connect 2021, the Canadian Derivatives Institute 10th Conference on Derivatives, the University of Oklahoma Price College of Business, Goethe University, the Virtual Derivatives Workshop, Macquarie University, and McGill University. The authors thank Adelina Nie, Roy Chen-Zhang, Linlong Wu, Raymond Ou, and Han Vo for excellent research assistance.
