Bitcoin prices are driven by upward as well as downward jumps and so the bitcoin implied
volatility surface behaves differently from those of established options markets. We analyze …

This study examines whether the demand for options, as measured by the net buying
pressure of index options, explains the implied volatility structure created by options prices …

This paper analyzes the implied volatility (IV) curve of the SSE 50 ETF options, the first
equity options market in mainland China. We quantify the IV curve and find it exhibits a right …

This study reexamines the influence of different investor types' net options demand on the
KOSPI200 options-implied volatility dynamics. We extend Bollen and Whaley (2004) by …

We re-examine the effect of net buying pressure on options-implied volatility changes by
analysing ultra-high-frequency microstructure data. Intraday relationships between option …

In this paper, we study the implied volatility smirk (IVS) of options written on the FXI, the
Financial Times Stock Exchange/Xinhua China 50 Index exchange‐traded fund (ETF) …

To differentiate between the effects of volatility trading and direction trading on an option
market, this study decomposes net buying pressure of options into volatility‐motivated …

We show that even if options traded with Black–Scholes–Merton pricing under a known and
constant volatility, meaning essentially in perfect markets, one would still obtain smiles …

The aim of this study is to examine the association between the capital flows of foreign
institutional investors (FIIs) in the equity derivatives market in India and the implied volatility …

Cash-futures basis, a proxy for arbitrage opportunities, is examined, and the impact of
informed trading and the changing roles of speculators and arbitrageurs are analyzed in …