We use the informational content of VIX derivatives to infer implications on the non-affine modeling of the stock returns' variance dynamics. We find that both a non-affine diffusion and variance jumps are necessary to capture the short- and long-term implied volatility distribution. In- and...

Our study is the first to investigate the implications of trading in options that expire on the same day - so-called "0DTE" options. Almost the entire growth of trading in S&P 500 index options can be traced back to demand for 0DTE options. We use recent exchange-related developments to identify...

Relax certificates are written on multiple underlying stocks. Their payoff depends on a barrier condition and is thus path-dependent. As long as none of the underlying assets crosses a lower barrier, the investor receives the payoff of a coupon bond. Otherwise, there is a cash settlement at...

We study the estimation, the dynamics, and the predictability of option-implied risk-neutral moments (variance, skewness, and kurtosis) for individual stocks from various perspectives. We first show that it is in the estimation of the higher moments essential to use an interpolation with a...

Over-allotment arrangements are nowadays part of almost any initial public offering. The underwriting banks borrow stocks from the previous shareholders to issue more than the initially announced number of shares. This is combined with the option to cover this short position at the issue price....