After the Debt Ceiling Bill was passed on August 2, 2011, the S&P 500 index returns volatility increased significantly … until the end of 2011. This research investigates the return volatility movements in S&P 500 spot index and index futures … markets, the lead/lag relationship between two markets, and the effect of volatility on the trading costs using year 2011 …

After the Debt Ceiling Bill was passed on August 2, 2011, the S&P 500 index returns volatility increased significantly … until the end of 2011. This research investigates the return volatility movements in S&P 500 spot index and index futures … markets, the lead/lag relationship between two markets, and the effect of volatility on the trading costs using year 2011 …

replication method and linear annuity mapping. We develop a model-free process to calculate a VIX-like credit volatility index …

market returns, volatility and trading volume for the Ho Chi Minh Stock Exchange (HOSE). Data used in this study is from a …-day has no impact on market volatility and trading volume. …

The primary objective of this paper is to examine the relationship between historical and implied volatility estimates … in order to propose the nature of a model that predicts the future volatility. For this scope, we used non …-overlapping clustering of observed futures volatility and implied volatility estimates from options on futures. Three types of implied …

various RUT benchmarks perform in different volatility environments. This paper is an overview of the performance of a variety … of RUT benchmarks and how they may perform in different volatility regimes …

implied volatility by using VIX Futures. First, we give a brief introduction to the VIX Index and what it represents. Then we …