The notion of model-free implied volatility (MFIV), constituting the basis for the highly publicized VIX volatility … more compatible with the related concept of corridor implied volatility (CIV). We provide a comprehensive derivation of the … CIV measure and relate it to MFIV under general assumptions. In addition, we price the various volatility contracts, and …

associated with reduced implied volatility overall, and the effect is stronger for options purchased by retail investors. In … contrast, implied volatility increases for long-dated options during outages, consistent with reduced retail writing activity …. The findings highlight the importance of retail demand pressure on the implied volatility surface and suggest that retail …

) index call and put options with different volatility forecasting approaches. Since the volatility is the key parameter in … pricing options, GARCH (Generalized Autoregressive Conditional Heteroskedasticity), implied volatility, historical volatility …, and implied volatility index (VBI) are used to determine the best volatility approach for pricing options according to …