risk in an incomplete market with both directional and volatility risk. We extend this model to multi-periods and show that …This paper documents the fact that in options markets, the (percentage) implied volatility bid-ask spread increases at … aforementioned phenomenon where risk averse and competitive option market makers quote bid and ask prices to minimize their inventory …

The purpose of this study is to examine the role of options volatility and bid-ask spread as microstructural variables … is characterised by changes in risk perception and transaction costs. The findings suggest that behavioural … characteristics of market participants appear to trump macroeconomic considerations. The volatility indices and bid-ask spreads were …