investigate the volatility smile derived from liquid call and put options on the Polish WIG20 index which option series expired on … volatilities for moneyness points needed were calculated, then we construct 355 smile curves for calls and puts options to study …

announcements and use at-the-money options to exploit their informational advantage. In the post-event period, however, informed … option investors trade by using deep-out-of-the-money and out-of-the-money options. We documented limited evidence on the …

order book, using machine learning tools. The applicability of such tools on the options market is currently missing. On an … intraday tick-level dataset of options on an exchange traded fund from the Chinese market, we apply a variety of machine …

influence of different investor types' net options demand on the KOSPI200 options-implied volatility dynamics. We extend Bollen … and Whaley (2004) by accounting for options traders' hedging demand for futures contracts, intraday seasonality, dynamic … impacts of net buying pressure on implied volatility, and the effect of regulatory reform in the options market. Our empirical …