The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.
Does Net Buying Pressure Affect the Shape of Implied Volatility Functions?
Open accessAbstract
This paper examines the relation between net buying pressure and the shape of the implied volatility function (IVF) for index and individual stock options. We find that changes in implied volatility are directly related to net buying pressure from public order flow. We also find that changes in implied volatility of S&P 500 options are most strongly affected by buying pressure for index puts, while changes in implied volatility of stock options are dominated by call option demand. Simulated delta‐neutral option‐writing trading strategies generate abnormal returns that match the deviations of the IVFs above realized historical return volatilities.
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Citations
Cites
The pricing of options and corporate liabilities
Black, F., & Scholes, M. (1973) · Journal of Political Economy · doi:10.1086/260062 · Cited by 29,074
Shleifer, A., & Vishny, R. W. (1997) · The Journal of Finance · doi:10.1111/j.1540-6261.1997.tb03807.x · Cited by 5,291
Cited by
Stocks as Lotteries: The Implications of Probability Weighting for Security Prices
Barberis, N., & Huang, M. (2008) · American Economic Review · doi:10.1257/aer.98.5.2066 · Cited by 1,544
Amihud, Y., Mendelson, H., & Pedersen, L. H. (2005) · Foundations and Trends® in Finance · doi:10.1561/0500000003 · Cited by 820
What Does the Individual Option Volatility Smirk Tell Us About Future Equity Returns?
Xing, Y., Zhang, X., & Zhao, R. (2010) · Journal of Financial and Quantitative Analysis · doi:10.1017/s0022109010000220 · Cited by 710
Financial Reporting Opacity and Expected Crash Risk: Evidence from Implied Volatility Smirks
Kim, J., & Zhang, L. (2014) · Contemporary Accounting Research · doi:10.1111/1911-3846.12048 · Cited by 486
The Price of Correlation Risk: Evidence from Equity Options
DRIESSEN, J., MAENHOUT, P. J., & VILKOV, G. (2009) · The Journal of Finance · doi:10.1111/j.1540-6261.2009.01467.x · Cited by 423
Metadata
- Authors
- Bollen, N. P. B., & Whaley, R. E.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2004-03-25
- Volume
- 59
- Issue
- 2
- Pages
- 711-753
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W3121459779
- Cited by
- 987
- References
- 2
- FWCI
- 47.02
- Type
- journal article
- Language
- en
- Open access
- bronze
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- Bollen, N. P. B., & Whaley, R. E. (2004). Does Net Buying Pressure Affect the Shape of Implied Volatility Functions? The Journal of Finance. https://doi.org/10.1111/j.1540-6261.2004.00647.x
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
