Equity options are not only an attractive trading vehicle due to the high leverage they offer, they also enable investors to trade their volatility expectations. With high-resolution option data, we analyze the volatility information embedded in index options with different moneyness and...

We lay out an empirical and a theoretical model to analyze the effects of non-fundamental exchange rate volatility on economic activity and welfare. In the first part of the paper, the GARCH-SVARmodel is applied to measure empirically the effect of the conditional exogenous exchange rate...