Volatility informed trading in the options market: evidence from India
The purpose of this paper is to investigate the trading activity in options market based on information about expected future volatility in spot market. We employ Common Implied Volatility as a measure of expected volatility and options volume and changes in Open Interests as measures of options tr...
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| Format: | Article |
| Language: | English |
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Vilnius Gediminas Technical University
2015-12-01
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| Series: | Business: Theory and Practice |
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| Online Access: | https://journals.vgtu.lt/index.php/BTP/article/view/8200 |