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    Index Futures and the Implied Volatility of Options

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    Morse RFM 1988.pdf (2.416Mb)
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    http://hdl.handle.net/11603/3944
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    Author/Creator
    Morse, Joel N.
    Date
    1988
    Type of Work
    10 pages
    Text
    journal articles
    Citation of Original Publication
    Morse, Joel N. "Index Futures and the Implied Volatility of Options," Review of Futures Markets, Vol. 7, No. 2, 1988, pp. 325-333
    Abstract
    This paper examines the relation between the pricing of stock index futures contracts and the implied volatilities of index and individual equity options. For data from the 1986-1988 period, the difference between the implied volatility of calls and puts on the Standard and Poor's 100 index appears to be closely related to variation in the premium or discourse of the major U.S.-traded futures contracts. We construct an argument to support this observation. Reasons are also offered for the finding that index put volatilities exceed those for calls during the entire sample period.


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    Robert L. Bogomolny Library
    University of Baltimore
    1420 Maryland Ave.
    Baltimore, MD 21201
    Email: knowledgeworks@ubalt.edu


    If you wish to submit a copyright complaint or withdrawal request, please email mdsoar-help@umd.edu.