活动内容
Topic
Event-day
Options
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.
