identical volatility pricing across equity and index options …

In informationally efficient financial markets, option prices and this implied volatility should immediately be … volatility would indicate market inefficiency. Using minute-by-minute data on S&P 500 index options, we provide evidence … regarding delayed and gradual movements in implied volatility after the arrival of return jumps. These movements are directed …

Buy-Write and Put-Write strategies have been shown to match market returns with lower volatility resulting in higher … risk-adjusted performance. The strategies benefit from the fact that implied volatility of options is generally higher than … actual realized volatility. In this paper we show that this premium is higher at elevated levels of implied volatility (as …

return across a number of specifications. A typical stochastic volatility with jumps pricing model is unable to match many of … the observed behaviors of this measure of RN skewness, or the small predictable component of returns. Although volatility …