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

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10.1016/1044-0283(90)90004-7
 http://hdl.handle.net/11603/4156
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UBalt Faculty Scholarship
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Date
1990
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journal articles
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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.
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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.