Lee, Jaeram; Lee, Geul; Ryu, Doojin - 2018
volumes. Furthermore, the futures volume has a significantly positive effect on the option-implied volatility, whereas the … stock volume is only associated with the implied volatility of at-the-money options, which can be traded quickly. In … contrast, the implied volatility of out-of-the-money options, which are highly speculative, is strongly related to the futures …