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...

Recently an influential academic study and many lawsuits have claimed that the VIX index has been manipulated since 2008. In this paper, we construct a regression model with explanatory variables that are exogenous to the index and examine the model prediction errors. We find that the movements...

This paper uses a disaggregated approach to study the volatility of common stocks at the market, industry, and firm levels. Over the period 1962-97 there has been a noticeable increase in firm-level volatility relative to market volatility. Accordingly correlations among individual stocks and...