An Intraweek Seasonality in the Implied Volatilities of Individual and Index Options

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http://media.proquest.com/media/pq/classic/doc/475561/fmt/pi/rep/NONE?cit%3Aauth=Morse%2C+Joel+N&cit%3Atitle=An+Intraweek+Seasonality+in+the+Implied+Volatilities+of+Individual+...&cit%3Apub=The+Financial+Review&cit%3Avol=26&cit%3Aiss=3&cit%3Apg=319&cit%3Adate=Aug+1991&ic=true&cit%3Aprod=ABI%2FINFORM+Global&_a=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%3D&_s=Zk%2B6VptEi7WAOpah1Afj1C2nJMM%3D

Permanent Link

10.1111/j.1540-6288.1991.tb00384.x
http://hdl.handle.net/11603/4155

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UBalt Faculty Scholarship

Author/Creator

Date

1991

Type of Work

journal articles
Text

Citation of Original Publication

Morse, J. N. (August 01, 1991). An Intraweek Seasonality in the Implied Volatilities of Individual and Index Options. Financial Review, 26, 3, 319-341.

Abstract

This paper studies intraweek seasonalities in the implied volatilities of options on stock market indices. One-way analysis of variance isolates the daily behavior of implied volatilities. The differential between call implied volatility and put implied volatility tends to drop on Friday and rise on Monday. Relying on a synthetic futures contract created from options, an explanatory model is proposed. The model complements previous research on the difference between the intraweek behavior of stock market indices and that of derivative instruments based on the indices.