scarcity of data on the structure of trading in this market. This paper analyzes three months of global credit default swap … (CDS) transactions and presents findings on the market composition, trading dynamics, and level of standardization. We find … that trading activity in the CDS market is relatively low, with a majority of reference entities for single-name CDS …

We document that S&P 500 futures finish in the proximity of the closest strike price more often on days when serial … options on S&P 500 futures expire than on other days. The effect is driven by the interplay of market makers' rebalancing of …

We show that Standard & Poor's (S&P) 500 futures are pulled toward the at-the-money strike price on days when serial … options on the S&P 500 futures expire (pinning) and are pushed away from the cost-of-carry adjusted at-the-money strike price … (and early exercise) of in-the-money options by individual investors. The associated shift in notional futures value is at …

futures contracts. Their hedging demand is met by financial intermediaries who act as speculators, but are constrained in risk … 1980-2006, we show that producers’ hedging demand - proxied by their default risk - forecasts spot prices, futures prices …

transform, the rise and fall of S&P500 variance futures, predicting volatility using Markov switching multifractal model …: evidence from S&P100 index and equity options, the performance of commodity trading advi-sors: a mean-variance-ratio test … approach, forecasting volatility via stock return, range, trading volume and spillover effects: the case of Brazil, estimating …