traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a …

highly attractive skewness-kurtosis profi le. In the presence of transactions costs that depend on an option's moneyness and … sensitivities to chosen risk factors. I test these portfolios empirically and find that options signifi cantly improve the risk …

I develop a noisy rational expectations equilibrium model with a continuum of states and a full set of options that … have important implications for price discovery through options …

After executing option orders, options market makers turn to the stock market to hedge away the underlying stock … independent of options. The analysis shows that the option-induced imbalance significantly predicts future stock returns in the … cross section controlling for the past stock and options returns, but the imbalance independent of options has only a …

options on the S&P 500 futures expire (pinning) and are pushed away from the cost-of-carry adjusted at-the-money strike price … right before the expiration of options on the S&P 500 index (anti-cross-pinning). These effects are driven by the interplay … (and early exercise) of in-the-money options by individual investors. The associated shift in notional futures value is at …

This study analyzes the forecasting accuracy of the implied volatility of options on futures contracts for the delivery … of CO2 emission allowances (carbon options) traded on the European Climate Exchange. We demonstrate that option implied … volatility is highly informative about the variance of returns realized over the remaining life of the options. It is also …