Studies from the US and Australia show that weekly implied volatility
indices in general show weaker relationships with market volatility and returns than do daily indices (see Fleming, Ostdiek and Whaley, 1995; Dowling and Muthuswamy, 2005).
Finally, we consider a market model for volatility risks in which the at-the-money implied volatility
is a state variable.
Herriger, 2002, "Relative Implied Volatility
Arbitrage with Index Options", Financial Analysts Journal, 58(1):42-55
We find this important volume effect, where others have not, because we include implied volatility
in our ARCH investigation whereas previous volume/return studies have not.
Sections 4 and 5 present techniques for measuring market uncertainty: implied volatility
and implied probability density functions, respectively.
Traders and investors who frequently buy or sell such portfolios do so with a view of the volatility of the underlying asset that does not correspond to the expected future volatility embedded in the option price, or the implied volatility
More recent works prefer to use both estimators because the superiority of the implied volatility
estimator seems not to be so unanimous.
At the time of settlement, the estimated implied volatility
is entered into the Black-Scholes formula to determine the option price.
In the middle of the period, implied volatility
on dollar-mark and dollar-yen options moved higher as the dollar-yen exchange rate fell 8.
A common method of gauging the relative prices of options, based on the return on the investment, is to look at the option's implied volatility
NEW YORK -- OptionMetrics, the financial industry's premier provider of accurate and complete historical options price data, implied volatility
, and analytics announced today that it has scheduled its 2012 OptionMetrics Users Conference for Oct.
Apr 10 call implied volatility
remains near 30, suggesting some uncertainty about the deal exists - which might also help explain the interest in 10-strike calls when the deal values OCLR at roughly $9.