This paper examines through the lens of modern option pricing a largely forgotten option trading manual called “The PUT-and-CALL” written in 1896 by a London trader named Leonard R. Higgins. It argues that City of London traders in the late nineteenth century had a considerably more advanced...

This paper proposes of new index of forward looking absolute deviation extracted from option prices. The new index, named ADIX, is model-free and easy to compute using at-the-money straddle prices. An empirical analysis using S&P 500 options data for the time period 1996-2019 reveals that ADIX...