significance. VIX changes display negative serial correlation suggesting liquidity provision in the options market. Temporary price …

for the most liquid at-the-money and out-of-the-money options: put (call) options for strikes below (above) the current … volatility forecasts. The investigation is pursued in the Dax index options market, by using synchronous prices matched in a one …-minute interval. It was found that the information content of implied volatility has a humped shape, with out-of-the-money options …

: implied volatility and model free volatility. The comparison is pursued by using intradaily data on the Dax-index options …

volatility in the Dax index options market. Since implied volatility varies across option type (call versus put) we run a horse … options market: unbiasedness and efficiency of the different volatility forecasts. Our results suggest that all the three …