“…Representative studies includeBall and Brown (1968), Shivakumar (2008), Foster (1973),Patell (1976),Penman (1980),Ajinkya and Gift (1984),Waymire (1984),Baginski et al (1993),Skinner (1994), Miller (2002,Hutton et al(2003),Milian (2010),Griffin (2003), Li and Ramesh (2009), Lerman and Livnat (2009),Bryan (1997), andBrown and Tucker (2011). 2 Implied volatility is the market's expectation of the average stock return volatility over the duration of the option contract and is equal to the volatility implied by the option's price and an option pricing model such as the Black-Scholes model or the Cox-Ross-Rubinstein binomial tree model.…”