Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/10977
Title: Asymmetric volatility and trading activity in index futures options
Authors: Chan, KC
Cheng, LTW 
Lung, PP
Keywords: Futures options
Implied volatility
Asymmetric response
Issue Date: 2005
Publisher: Wiley-Blackwell
Source: Financial review, 2005, v. 40, no. 3, p. 381-407 How to cite?
Journal: Financial review 
Abstract: We examine the impact of option trading activity on implied volatility changes to returns in the index futures option market. Controlling for option moneyness, delta-to-option-premium ratio, and liquidity, we find that net buying pressure, profit-maximization behavior, and liquidity are interrelated and affect asymmetric responses of implied volatilities to returns. Implied volatilities of options with more liquidity, a higher exercise price, and a higher delta-to-option-premium ratio have the most profound asymmetric response.
URI: http://hdl.handle.net/10397/10977
ISSN: 0732-8516
EISSN: 1540-6288
DOI: 10.1111/j.1540-6288.2005.00107.x
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