Predicting implied volatility in the commodity futures options markets
Both academics and practitioners have a substantial interest in understanding patterns in implied volatility that are recoverable from commodity futures options. Such knowledge enhances their ability to accurately forecast volatility embedded in these high risk options. This paper examines option-im...
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| Format: | Article |
| Language: | English |
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Universiti Utara Malaysia
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| Online Access: | https://repo.uum.edu.my/id/eprint/336/1/Stephen_Ferris.pdf |
| _version_ | 1803624109993623552 |
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| author | Ferris, Stephen Guo, Weiyu Su, Tie |
| author_facet | Ferris, Stephen Guo, Weiyu Su, Tie |
| author_sort | Ferris, Stephen |
| collection | UUM |
| description | Both academics and practitioners have a substantial interest in understanding patterns in implied volatility that are recoverable from commodity futures options. Such knowledge enhances their ability to accurately forecast volatility embedded in these high risk options. This paper examines option-implied volatility contained in the heavily traded September corn futures option contracts for the ten-year period, 1991-2000. We also test whether a "weekend effect" exists in the market for these contracts. We evalu- ate the performance of various measures widely employed in the literature to estimate historical volatility. We further report the nature of profits from a short straddle strategy which seeks to exploit differences between option-implied and historical volatility |
| first_indexed | 2024-07-04T05:13:10Z |
| format | Article |
| id | uum-336 |
| institution | Universiti Utara Malaysia |
| language | English |
| last_indexed | 2024-07-04T05:13:10Z |
| publisher | Universiti Utara Malaysia |
| record_format | dspace |
| spelling | uum-3362010-08-08T08:01:50Z https://repo.uum.edu.my/id/eprint/336/ Predicting implied volatility in the commodity futures options markets Ferris, Stephen Guo, Weiyu Su, Tie HC Economic History and Conditions Both academics and practitioners have a substantial interest in understanding patterns in implied volatility that are recoverable from commodity futures options. Such knowledge enhances their ability to accurately forecast volatility embedded in these high risk options. This paper examines option-implied volatility contained in the heavily traded September corn futures option contracts for the ten-year period, 1991-2000. We also test whether a "weekend effect" exists in the market for these contracts. We evalu- ate the performance of various measures widely employed in the literature to estimate historical volatility. We further report the nature of profits from a short straddle strategy which seeks to exploit differences between option-implied and historical volatility Universiti Utara Malaysia Article PeerReviewed application/pdf en https://repo.uum.edu.my/id/eprint/336/1/Stephen_Ferris.pdf Ferris, Stephen and Guo, Weiyu and Su, Tie Predicting implied volatility in the commodity futures options markets. The International Journal of Banking and Finance , 1 (1). pp. 73-94. ISSN 1617-722 http://ijbf.uum.edu.my/ |
| spellingShingle | HC Economic History and Conditions Ferris, Stephen Guo, Weiyu Su, Tie Predicting implied volatility in the commodity futures options markets |
| title | Predicting implied volatility in the commodity futures options markets |
| title_full | Predicting implied volatility in the commodity futures options markets |
| title_fullStr | Predicting implied volatility in the commodity futures options markets |
| title_full_unstemmed | Predicting implied volatility in the commodity futures options markets |
| title_short | Predicting implied volatility in the commodity futures options markets |
| title_sort | predicting implied volatility in the commodity futures options markets |
| topic | HC Economic History and Conditions |
| url | https://repo.uum.edu.my/id/eprint/336/1/Stephen_Ferris.pdf |
| work_keys_str_mv | AT ferrisstephen predictingimpliedvolatilityinthecommodityfuturesoptionsmarkets AT guoweiyu predictingimpliedvolatilityinthecommodityfuturesoptionsmarkets AT sutie predictingimpliedvolatilityinthecommodityfuturesoptionsmarkets |