We examine the intraday behavior of the risk neutral probability density (RND) for the Standard and Poor's 500 Index extracted from a continuous real-time data feed of bid and ask quotes for index options. This allows an exceptionally detailed view of how investors' expectations about returns...

The Federal Reserve announces its new interest rate target while the stock market is open, at precisely 2:15 P.M. eight times a year. In the Efficient Markets model, information is impounded in prices immediately and accurately as soon as it becomes public knowledge and only the unanticipated...

We examine how the risk neutral probability density (RND) for the S&P 500 behaved from minute to minute during the fall of 2008, compared to earlier periods. The RND extracted from a new dataset containing the full real-time record of bid and ask quotes for index options provides an...

We examine the risk neutral probability density (RND) for the S&P 500 extracted from real-time bid and ask quotes for index options, under extreme market stress during the fall of 2008. The RND provides exceptional detail about investors' expectations as intraday volatility increased to a level...