Abstract
We re-examine the effect of net buying pressure on options-implied volatility changes by analysing ultra-high-frequency microstructure data. Intraday relationships between option price dynamics and investors’ net demand are explained by the direction-learning hypothesis.
| Original language | English |
|---|---|
| Pages (from-to) | 292-297 |
| Number of pages | 6 |
| Journal | Applied Economics Letters |
| Volume | 29 |
| Issue number | 4 |
| DOIs | |
| State | Published - 2022 |
Keywords
- Direction-learning
- net buying pressure
- option-implied volatility
- ultra-high-frequency data
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