Brittain, Lee; Garcia, Philip; Irwin, Scott H. - 2009
performance of implied volatility in the live and feeder cattle optionsmarkets. In both markets, implied volatility is an upwardly … biased and inefficient predictor ofrealized volatility, with bias most prominent in live cattle. While significant returns ….However, the returns from selling live cattle puts are persistent, and evidence from straddlereturns identifies that the market …