Classical Black Scholes model, however still widely used in the financial circles, is known for its inability to generate volatility satisfying the market observations. Besides the assumption of the normal distribution of the underlying assets and perfect liquidity of the market, classical...

The goal of this paper is to study the relationship between an Index Options Open Interest and the Underlying Price, and examine the Predictable Power of Index Options Open Interest. The objective is to validate the predictable power of Index Options Open Interest in predicting the Trend of the...