Event-day Options

活动时间:12月3日10:00 – 11:30

活动地点:Virtual Meeting through XYLink (小鱼易连)

活动演讲人: Jonathan H. Wright



Event-day Options


Jonathan H. Wright

Professor, Johns Hopkins University


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.