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Journal of Financial Economics Vol. 22 No. 1 1988

The behavior of the volatility implicit in the prices of stock index options

Theodore E. Day1; Craig M. Lewis2

1 University of North Carolina at Chapel Hill · 2 Vanderbilt University

Abstract

We examine stock-market volatility around the quarterly expirations of stock index futures contracts and nonquarterly expirations of stock index options, using estimates of the volatility implicit in the option prices. The option prices reflect increases in the volatility of the underlying stock indexes around both quarterly and nonquarterly expiration dates. Analysis of the residual returns on index options provides evidence consistent with an unexpected increase in market volatility around expiration dates.

DOI
10.1016/0304-405x(88)90024-4
Volume
22
Issue
1
Pages
103-122
Language
en
Sources
bibtex:phds-export.bib openalex crossref

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