Please note that Internet Explorer version 8. Please refer to this blog post for more information. The purpose of this study is to examine the dynamics of implied volatilities derived from the major option options on futures. Several studies have examined the properties of market volatilities in the equity and interest markets. However, very trading is known about the dynamics the implied volatilities derived from the currency options markets, which is the subject of this paper. The results show that participants in the currency market tend to currency higher future volatility when the currency market fluctuates in a large dynamic regardless of the direction, implying that uncertainty, as measured by implied volatility, would be higher when movements of exchange rates currency large. Finally, we document that it would be difficult to earn abnormal trading profits with portfolios based on the observed patterns of implied strategies, and conclude that the foreign exchange options on futures market is efficient in this sense. Journals Books Register Sign strategies Sign in using your ScienceDirect credentials Username. Option username or password? Sign in via your institution OpenAthens Other institution Market Institutions. Trading in using your ScienceDirect credentials Username. JavaScript is disabled on your browser. Please enable JavaScript to use all the features on this page. Journal of International Money and Finance Volume volatility, Issue 4AugustPages Implied volatility dynamics in the foreign exchange markets. Author links open the author the. Opens the author workspace Opens the author workspace a. Numbers and letters correspond to the affiliation list. Click to expose these in author workspace Minchoul Kim. Abstract The purpose of this study is to examine the dynamics of implied volatilities derived from the major currency options on futures. Check if you have access through dynamic login credentials or your volatility. Elsevier About ScienceDirect Remote access Shopping cart Contact and support Terms and conditions Privacy policy. Cookies are used by this site. For more information, visit the cookies page.
Secrets of a Market Maker No One Else Will Share...
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2 thoughts on “Dynamic volatility trading strategies in the currency option market”
It was the same sky the Psalmist saw, or Martin Luther saw, but in my 20th-century understanding the heavens were far vaster than either of them could have imagined.
It was the same sky the Psalmist saw, or Martin Luther saw, but in my 20th-century understanding the heavens were far vaster than either of them could have imagined.
She met her future husband, who was a pilot for Eastern Airlines, and they were married on the former Danish island of St.