Does Net Buying Pressure Affect the Shape of Implied Volatility Functions

By Nicolas P. B. Bollen, Robert Whaley. 2004

941 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/e1b3560b10ced3d275dca882455b35d3108b5a0e

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Citations in the corpus

Corporate Governance and Liquidity (2010, neutral): “index originally suggested by Bollen and Whaley (1998), which is defined as the ratio of the quoted depth to quoted spread.”
Deviations from Put-Call Parity and Stock Return Predictability (2010, neutral): “…drive a wedge between call and put implied volatilities, namely skewness and skewness risk.4 Second, our results are related to a recent strand of literature that shows that the demand for an option can affect its price, see Bollen and Whaley (2004) and Garleanu, Pederson, and Poteshman (2006).”
Nominal price illusion (2016, methodology): “We define option moneyness following Bollen and Whaley (2004). ATM options are defined as call options with delta higher than 0.”
Volatility Information Trading in the Option Market (2008, positive): “2 Bollen and Whaley (2004) also show that the net demand for volatility impacts option prices but do not investigate variation in the impact around EADs.”
Model Specification and Risk Premia: Evidence from Futures Options (2007, background): “By maturity, 1,090,462 transactions are under 30 days to maturity, 803,971 are between 30 and 89 days to maturity, and 187,294 are 90 days or more to maturity.”
Illiquidity Premia in the Equity Options Market (2018, methodology): “Finally, Bollen and Whaley (2004), Gârleanu, Pedersen, and Poteshman (2009), and Muravyev (2016) document the impact of inventory shocks and net demand on option prices.”
A Tale of Two Premiums: The Role of Hedgers and Speculators in Commodity Futures Markets (2019, neutral): “Section 3 presents our empirical findings on short-term futures return predictability based on liquidity provision by 6 In option markets, several studies find that fluctuations in implied volatility reflect buying pressure (see Bollen and Whaley (2004), Garleanu, Pedersen, and Poteshman (2009)).”
Understanding Index Option Returns (2009, neutral): “Bollen and Whaley (2004) is the only paper that considers rebalancing.”
Investor Sentiment and Option Prices (2008, positive): “Bollen and Whaley (2004) find that an option's implied volatility increases with its net buying pressure.”
What Does the Individual Option Volatility Smirk Tell Us About Future Equity Returns? (2010, methodology): “For instance, Bollen and Whaley (2004) use Black-Scholes (1973) delta to measure moneyness and Ni (2007) uses total volatility-adjusted strike-to-stock price ratio as one of the moneyness measures.”
Can the evolution of implied volatility be forecasted? Evidence from European and US implied volatility indices (2008, background): “…studies have already explored the relationship of implied volatility with a number of economic variables in a contemporaneous setting (see e.g., Franks and Schwartz, 1991, Fleming et al., 1995, Whaley, 2000, Davidson et al., 2001, Mixon, 2002, Simon, 2003, Bollen and Whaley, 2004, and Giot, 2005b).”
The Effect of Macroeconomic News on Beliefs and Preferences: Evidence from the Options Market (2006, positive): “Following Bollen and Whaley (2004), we also differentiate options by moneyness and compute the daily percentage changes in out-of-the-money call options and out-of-themoney put options trading volume and open interest.”