Event-day Options
活動時間：12月3日10:00 – 11:30
活動地點：Virtual Meeting through XYLink (小魚易連)
活動演講人： Jonathan H. Wright
活動內容
Topic
Speaker
Jonathan H. Wright
Professor, Johns Hopkins University
Abstract
This paper considers new options on Treasury and stock futures than expire each Wednesday and Friday. I examine the volatilities implied by these options as of the night before expiration, and compare the volatilies just before FOMC days and employment report days with the volatilities on other Wednesdays or Fridays, respectively. This can be used to measure the risk neutral uncertainty associated with FOMC announcements and employment reports. I can also compare the average physical and risk neutral uncertainty: the difference between them is the average variance risk premium. Average variance risk premia are large and significantly positive, especially for FOMC days. Lastly, I construct options-implied densities on the eve of FOMC and employment report days.