This paper investigates the predictive content of the VIX options trading volume for the future dynamics of the underlying VIX index. Using a novel dataset from the Chicago Board Options Exchange, we calculate the put-call ratio based on the VIX option volume initiated by buyers to open new...

This paper examines the intraday changes of gold and crude oil implied volatility around the release of FOMC statements. We find that monetary policy releases lead to intraday uncertainty resolution in these commodity markets. The resolution of uncertainty is stronger after announcements...

This study investigates the lead–lag relationships of volatility among European stock markets. Using weakly realized variance measures, we examine volatility spillover dynamics between the UK and other major stock markets in Europe, thereby identifying a long-run leading role for the UK market...

Recent empirical literature shows that Internet search activity is closely associated with volatility prediction in financial and commodity markets. In this study, we search for a benchmark model with available market-based predictors to evaluate the net contribution of the Internet search...

This study examines the effect of oil and gas inventory announcements on energy prices. Previous estimates of this effect suffer from bias due to measurement error in inventory surprises. We utilize intraday futures data for three petroleum commodities and natural gas to estimate the price...