We examine the intertemporal relationships between Chicago Board Options Exchange (CBOE) market volatility index (VIX) and returns of the S&P 100, 500 and 600 indexes among three subperiods during 1992--2011 to account for structural shifts in VIX and to investigate if the role of VIX as an...

This article estimates the premium for volatility risk using option prices for the British pound from 1993 to 1995. The risk premium is estimated as the difference between a hedge portfolio return and risk-free return. The annualized premium for volatility risk is statistically non-zero....

This paper analyses the dynamic relations between future price volatility of the S&P 500 index futures and trading volume of S&P 500 futures options to examine the informational role of the option volume in predicting the future price volatility. Using a pooled cross-sectional and time-series...