Using positions data on bond futures, I document that speculators' spread trades contain private information about future economic activities and asset prices. Strong steepening trades are associated with negative payroll surprises in subsequent months and can predict asset markets' reaction to...

This paper examines the option pricing implications of short-run and long-run volatility factors, which are assumed to be driven by short-run and long-run news events, respectively. Using a comprehensive dataset of S&P 500 index options over 1993-2008, I find that the proposed two-factor...

The Alternative Reference Rate Committee, a group of private-sector market participants convened by the Federal Reserve, has recommended that markets transition to the use of the Secured Overnight Financing Rate (SOFR) in financial contracts that currently reference US dollar LIBOR. This paper...