Stock market volatility is back, a signal to some experts that the powerful rally that started in early March may be coming to an end.
stock volatilityVolatility Information Trading in the Option MarketMIT Sloan Publications Thu, 08/21/2008 - 13:50
This paper investigates informed trading on stock volatility in the option market. We construct non-market maker net demand for volatility from the trading volume of individual equity options and find that this demand is informative about the future realized volatility of underlying stocks. |
