Garleanu, Nicolae (contributor); … - 2005
markets. Consequently, we provide a somewhat detailed description of net
demand for SPX and equity options. Over the 1996-2001 … moneyness and maturity, 1996-2001. Equity-
option demand is per underlying stock.
midpoint of the best closing bid and offer … Implied Volatility (1996−2001)
0.02
0.052
0.084
0.116
0.148
0.18
Excess Implied Vol.
Figure 1: The bars show the average …