The recent introduction of the realized variance measure defined as the sum of the squared intra-daily returns stamped on some high frequency basis has spurred the research in the field of volatility modeling and forecasting into new directions. First, the realized variance is a much better...

Trades in DAX index options with identical maturities cluster around particular classes of strike prices. For example, options with strikes ending on 50 are less traded than options with strikes ending on 00. Clustering is higher when options with close strike prices are good substitutes. The...

The recent introduction of the realized variance measure defined as the sum of the squared intra-daily returns stamped on some high frequency basis has spurred the research in the field of volatility modeling and forecasting into new directions. First, the realized variance is a much better...

In this paper we propose and estimate an econometric model for the distribution of trading activity across options written on the DAX index. The model is based on the observation that in this market options with strike prices ending on 000, 200, 400, 600 and 800 (the class of 200-strike options)...

Trades in DAX index options with identical maturities cluster around particular classes of strike prices. For example, options with strikes ending on 50 are less traded than options with strikes ending on 00. Clustering is higher when options with close strike prices are good substitutes. The...

Trades in DAX index options with identical maturities cluster around particular classes of strike prices. For example, options with strikes ending on 50 are less traded than options with strikes ending on 00. Clustering is higher when options with close strike prices are good substitutes. The...