We document a new stylized fact regarding the term-structure of futures volatility. We show thatthe relation between the volatility of futures prices and the slope of the term structure of prices isnon-monotone and has a %u201CV-shape%u201D'. This aspect of the data cannot be generated by basic...

All option trades must occur on exchanges, which typically offer auctions that improve prices over existing quotes. Wholesalers, that purchase orders from brokers, initiating auctions must be willing to trade at the existing best quote or better. For S&P500 stocks, auctions are 23% of options...