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Cross-sectional variation of option-implied volatility skew

Wu, Liuren; Tian, Meng - In: Management science : journal of the Institute for … 70 (2024) 6, pp. 3566-3580

Persistent link: https://www.econbiz.de/10014551903

Quality Issues of Implied Volatilities of Index and Stock Options in the OptionMetrics IvyDB Database

Wallmeier, Martin - 2022

16:00) generally increases the variability of implied volatility spreads between puts and calls. In addition, it results … in considerable distortions at the outbreak of the COVID-19 pandemic and strongly affects aggregate implied volatility …

Persistent link: https://www.econbiz.de/10013296293

VIX implied volatility as a time-invariant, stationary assessor of market nervousness/uncertainty

Ronn, Ehud I. - In: Review of Pacific Basin financial markets and policies … 25 (2022) 3, pp. 1-13

Persistent link: https://www.econbiz.de/10013370987

The information content of ETF options

Lockwood, Jimmy; Lockwood, Larry Joseph; Miao, Hong; … - In: Global finance journal 53 (2022), pp. 1-17

Persistent link: https://www.econbiz.de/10013412674

Market Expectations and Option Prices : Techniques and Applications

Mandler, Martin - 2003

represented by historical volatility measures, variances etc. In contrast, using option prices allows us to study uncertainty in …

Persistent link: https://www.econbiz.de/10013519008

Asymptotic extrapolation of model-free implied variance : exploring structural underestimation in the VIX Index

Stahl, Philip - In: Review of derivatives research 25 (2022) 3, pp. 315-339

Persistent link: https://www.econbiz.de/10013457627

Traders' heterogeneous beliefs about stock volatility and the implied volatility skew in financial options markets

Nappo, Giovanna; Marchetti, Fabio Massimo; Vagnani, Gianluca - In: Finance research letters 53 (2023), pp. 1-9

Persistent link: https://www.econbiz.de/10014472484

Price discovery in the volatility index option market : a univariate GARCH approach

Venter, Pierre J; Maré, E. - In: Finance research letters 44 (2022), pp. 1-9

Persistent link: https://www.econbiz.de/10014494881

Measuring the Usefulness of Earnings Announcement for Uninformed Traders-Evidence from Implied Volatility in Option Market

Wang, Yushi; Sarath, Bharat; Li, Yubin - 2023

In this research study, we develop a new measure based on the option market to address the information role of earnings announcement on uninformed traders. Enlightened by previous theoretical work by Kim and Verrecchia (1991, 1994) and empirical findings in Patell and Wolfson (1979, 1981), our...

Persistent link: https://www.econbiz.de/10014260079

Why does volatility uncertainty predict equity option returns?

Cao, Jie; Vasquez, Aurelio; Xiao, Xiao; Zhan, Xintong - In: The Quarterly Journal of Finance : QJF 13 (2023) 1, pp. 1-35

Persistent link: https://www.econbiz.de/10014305078