An intraweek seasonality in the implied volatilities of T-bond and T-note options

Author/Creator

Author/Creator ORCID

Date

1990

Department

Program

Citation of Original Publication

Morse, J. N. (September 01, 1990). An intraweek seasonality in the implied volatilities of T-bond and T-note options. Global Finance Journal, 1, 4, 303-312.

Rights

Subjects

Abstract

This paper initiates the study of intraweek seasonalities in the implied volatilities of options on futures contracts on U.S. Treasury bonds and notes.