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- W2261854853 abstract "This study examines the implied volatility expiration week effect using intra-day bid and ask quotes on S&P 100 index options and intra-day returns on the underlying index. By using a time series model to construct a measure of unexpected variance, we show that only expiring index options exhibit an unanticipated increase in volatility during expiration weeks. We also find significant buy order imbalances for expiring options during the last week of trading that are strongly correlated with the excess volatility implied by the option prices. These findings suggest that the cash-settlement of OEX options contracts and the risk of assignment during expiration weeks may explain the observed presence of excess index option implied volatility during expiration weeks." @default.
- W2261854853 created "2016-06-24" @default.
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- W2261854853 date "1998-05-06" @default.
- W2261854853 modified "2023-09-23" @default.
- W2261854853 title "Index Option Expirations and Market Volatility" @default.
- W2261854853 hasPublicationYear "1998" @default.
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