An Intraweek Seasonality in the Implied Volatilities of Individual and Index Options
| dc.contributor.author | Morse, Joel N. | |
| dc.date.accessioned | 2017-06-21T20:58:11Z | |
| dc.date.available | 2017-06-21T20:58:11Z | |
| dc.date.issued | 1991 | |
| dc.description.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. | en_US |
| dc.description.uri | 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 | en_US |
| dc.format.extent | 23 pages | en_US |
| dc.genre | journal articles | en_US |
| dc.identifier | doi:10.13016/M2PP2H | |
| dc.identifier.citation | Morse, J. N. (August 01, 1991). An Intraweek Seasonality in the Implied Volatilities of Individual and Index Options. Financial Review, 26, 3, 319-341. | en_US |
| dc.identifier.issn | 0732-8516 | |
| dc.identifier.uri | 10.1111/j.1540-6288.1991.tb00384.x | |
| dc.identifier.uri | http://hdl.handle.net/11603/4155 | |
| dc.language.iso | en_US | en_US |
| dc.publisher | Wiley | en_US |
| dc.relation.isAvailableAt | University of Baltimore | |
| dc.title | An Intraweek Seasonality in the Implied Volatilities of Individual and Index Options | en_US |
| dc.type | Text | en_US |