Factors explaining movements in the implied volatility surface

Mixon, Scott

doi:10.1002/fut.10039

Cited by 51 publications

(31 citation statements)

References 24 publications

(18 reference statements)

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…Similar factors emerge in all currency options examined and have also been reported in investigations of surfaces from index options (e.g. Mixon (2002)) and futures options (e.g. Tompkins (2001)).…”

Section: Factor Representation Of the Implied Volatility Surfacesupporting

confidence: 75%

See 1 more Smart Citation

Predictable dynamics in implied volatility surfaces from OTC currency options

Chalamandaris

Tsekrekos

2010

Journal of Banking & Finance

View full text Add to dashboard Cite

Section: Factor Representation Of the Implied Volatility Surfacesupporting

confidence: 75%

“…al. (1999), Cont and da Fonseca (2002), Mixon (2002)), none is concerned with whether these factors can be exploited for accurate out-of-sample predictions of the IVS.…”

Section: Introductionmentioning

confidence: 99%

Predictable dynamics in implied volatility surfaces from OTC currency options

Chalamandaris

Tsekrekos

2010

Journal of Banking & Finance

View full text Add to dashboard Cite

“…A regression methodology then tests how the left tail of the PDF and the higher moments are related to key macroeconomic news, interest rates, the US$/euro exchange rate, the U.S. stock market, or risk premia. The study is closely related to Schwert (1989), Franks & Schwartz (1991), and, among recent work, to Mixon (2002). 2 This study offers two additional contributions.…”

Section: Introductionmentioning

confidence: 94%

What moves the tail? The determinants of the option-implied probability density function of the DAX index

Glatzer

Scheicher

2005

J. Fut. Mark.

View full text Add to dashboard Cite

In this article a study of the option-implied probability density function (PDF) of German stock returns is presented. The use of option prices allows for the quantification of the risk-neutral probability of large movements in the DAX index. Using daily data for the period from December 1995 to May 2002, the mixture of log-normals specification with a constant maturity of 49 days is estimated. The time series behavior of the option-implied PDF during episodes of market turbulence is discussed at the outset. The main purpose of the study is to consider the relationship of This paper was presented at the European Central Bank, the Bank for International Settlements, Humboldt -Universität, and Oesterreichische Nationalbank. We are grateful to Claudio Borio, Eli Remolona, Harald Uhlig, and Christian Upper for their helpful comments. The opinions in this paper do not necessarily reflect those of the OeNB or the ECB. Coutant, Jondeau, & Rockinger, 2001;Jondeau & Rockinger 2000;Weinberg, 2001. summary measures of the option-implied PDF to macroeconomic news, information from the U.S. stock market, and risk premia. The results suggest the existence of a significant spillover from the U.S. stock market. Returns and the volatility of U.S. stock prices have a strong effect on changes in the lower DAX tail probability, but also on the higher moments of the option-implied PDF.

show abstract

“…In the equity space, Mixon (2002), Guo, Han, and Zhao (2014), and Andreou and Ghysels (2014) link the implied volatility surface for the S&P 500 index to macroeconomic variables. In the energy space, Robe and Wallen (2016) show that the (equity-market) VIX and physical-market fundamentals both affect crude oil implied volatilities.…”

mentioning

confidence: 99%

Sugar With Your Coffee?: Financials, Fundamentals, and Soft Price Uncertainty

Covindassamy¹,

Robe²,

Wallen³

2017

View full text Add to dashboard Cite

work is licensed under a Creative Commons IGO 3.0 AttributionNonCommercial-NoDerivatives (CC-IGO BY-NC-ND 3.0 IGO) license (http://creativecommons.org/licenses/by-nc-nd/3.0/igo/ legalcode) and may be reproduced with attribution to the IDB and for any non-commercial purpose, as provided below. No derivative work is allowed.Any dispute related to the use of the works of the IDB that cannot be settled amicably shall be submitted to arbitration pursuant to the UNCITRAL rules. The use of the IDB's name for any purpose other than for attribution, and the use of IDB's logo shall be subject to a separate written license agreement between the IDB and the user and is not authorized as part of this CC-IGO license.Following a peer review process, and with previous written consent by the Inter-American Development Bank (IDB), a revised version of this work may also be reproduced in any academic journal, including those indexed by the American Economic Association's EconLit, provided that the IDB is credited and that the author(s) receive no income from the publication. Therefore, the restriction to receive income from such publication shall only extend to the publication's author(s). With regard to such restriction, in case of any inconsistency between the Creative Commons IGO 3.0 Attribution-NonCommercial-NoDerivatives license and these statements, the latter shall prevail.Note that link provided above includes additional terms and conditions of the license.The opinions expressed in this publication are those of the authors and do not necessarily reflect the views of the Inter-American Development Bank, its Board of Directors, or the countries they represent. We thank Osmel Manzano, Guillermo Lagarda Cuevas, and Scott Irwin for helpful discussions, and brownbag seminar participants at the Inter-American Development Bank (IDB) and the U.S. Commodity Futures Trading Commission (CFTC) for helpful comments and suggestions. We are grateful to Casey Petroff for her help with the public trader position data, to Emré Robe for his help with the construction of the weather variables, and to Lutz Kilian for his help with indicators of global economic conditions. The first draft of this paper was written while Robe was a consultant to, and Covindassamy was a research assistant at, the IDB. Robe was also a consulting senior economist with the CFTC during the same period. No CFTC compensation was received, and no CFTC resources or proprietary information were used, for this project. The opinions expressed in this paper are those of the authors: they do not reflect the views of other CFTC staff, the Commission itself, or the United States government; or the IDB or the shareholder governments. Errors and omissions, if any, are the authors' sole responsibility. 1Sugar with your Coffee? Financials, Fundamentals, and Softs Price Uncertainty AbstractWe investigate empirically the factors related to price uncertainty in the markets for two key Central American commodities: coffee and sugar ("softs"). Specifically, we analyze the predictive powe...

show abstract

Factors explaining movements in the implied volatility surface

Cited by 51 publications

References 24 publications

Predictable dynamics in implied volatility surfaces from OTC currency options

Predictable dynamics in implied volatility surfaces from OTC currency options

What moves the tail? The determinants of the option-implied probability density function of the DAX index

Sugar With Your Coffee?: Financials, Fundamentals, and Soft Price Uncertainty

Contact Info

Product

Resources

About