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

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Abstract

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

Item Type:	Article
Uncontrolled Keywords:	commodity futures options, implied volatility
Subjects:	H Social Sciences > HC Economic History and Conditions
Divisions:	UNSPECIFIED
Depositing User:	Mrs. Norazmilah Yaakub
Date Deposited:	08 Aug 2010 08:01
Last Modified:	08 Aug 2010 08:01
URI:	https://repo.uum.edu.my/id/eprint/336

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