Option markets and implied volatility: Past versus present☆

Mixon, Scott

doi:10.1016/j.jfineco.2008.09.010

Cited by 54 publications

(31 citation statements)

References 32 publications

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“…The results are reported in Table . Our results are in line with Mixon (), who finds that if RV of a stock is less than RV of another stock, then the IV of the former stock is also lesser than the latter's. Further, he observes that intuitively the slope should be positive, which our results support.…”

Section: Results: Macroefficiencysupporting

confidence: 92%

“…The difference between median IV and median RV30 (RVexp) for SSOs is 2.41% (3.61%), and for Nifty index options is 1.95% (2.19%). Our values for IV‐RV difference in SSOs lie in between of that reported by Mixon () at 6% and reported by Bakshi and Kapadia () at 1.5%…”

Section: Results: Macroefficiencysupporting

confidence: 86%

“…The difference between median IV and median RV30 (RVexp) for SSOs is 2.41% (3.61%), and for Nifty index options is 1.95% (2.19%). Our values for IV-RV difference in SSOs lie in between of that reported by Mixon (2009) at 6% and reported by Bakshi and Kapadia (2003b) at 1.5%. 16 Our results can be regarded as being supportive of rational markets except that SSO risk premiums appear to be too high relative to other economies.…”

Section: Visual Evidencesupporting

confidence: 72%

“…This section aims to analyze some cross-sectional and time-series dynamics of IV and RV. Mixon (2009), we test the relative mispricing in the options market-higher volatility stocks should have higher prices. If the cross sections of IV and RV do not match, it could be argued that investors merely select "hot" stocks which may not have any bearing with the underlying's RV.…”

Section: Cross-sectional and Time-series Dynamics Of IV And Rvmentioning

confidence: 99%

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Indian equity options: Smile, risk premiums, and efficiency

Jain

Varma

Agarwalla

2018

Journal of Futures Markets

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We study the pricing of equity options in India which is one of the world's largest options markets. Our findings are supportive of market efficiency: A parsimonious smile‐adjusted Black model fits option prices well, and the implied volatility (IV) has incremental predictive power for future volatility. However, the risk premium embedded in IV for Single Stock Options appears to be higher than in other markets. The study suggests that even a very liquid market with substantial participation of global institutional investors can have structural features that lead to systematic departures from the behavior of a fully rational market while being “microefficient.”

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Section: Results: Macroefficiencysupporting

confidence: 92%

Section: Results: Macroefficiencysupporting

confidence: 86%

Section: Visual Evidencesupporting

confidence: 72%

Section: Cross-sectional and Time-series Dynamics Of IV And Rvmentioning

confidence: 99%

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Indian equity options: Smile, risk premiums, and efficiency

Jain

Varma

Agarwalla

2018

Journal of Futures Markets

View full text Add to dashboard Cite

show abstract

“…Tento výsledek se v překvapivé míře odlišuje od jediného srovnatelného výzkumu v literatuře, když Mixon (2009) zjišťuje pro americký akciový opční trh v období 1872 až 1875 soustavně a velmi výrazně vyšší implicitní volatility než by odpovídalo volatilitám historickým; jeho rozdíl činí prakticky vždy nejméně 10 procentních bodů a v průměru dokonce celých 25 procentních bodů.…”

Section: Vývoj Implicitní Volatilityunclassified