Does Net Buying Pressure Affect The Shapeof Implied Volatility Functions ?  

Oleh:

Bollen, Nicolas P. B. ; Whaley, Robert E.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 59 no. 2 (Apr. 2004), page 711-754.
Topik: VOLATILITY; stock options; volatility; correlation analysis; supply & demand; studies
Fulltext: p 711.pdf (319.86KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

This paper examines the relation between net buying pressure and the shape of the implied volatility function (IVF) for index and individual stock options. We find that changes in implied volatility are directly related to net buying pressure from public order flow. We also find that changes in implied volatility of S&P 500 options are most strongly affected by buying pressure for index puts, while changes in implied volatility of stock options are dominated by call option demand. Simulated delta - neutral option - writing trading strategies generate abnormal returns that match the deviations of the IVFs above realized historical return volatilities.

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