Juan M. Londoño, Beth Anne Wilson
Abstract
In this note, we identify a global component of equity option-implied volatilities and address two questions: What are its fundamental drivers? And, given these drivers, are recent levels of volatility unexpectedly low?
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In this note, we identify a global component of equity option-implied volatilities and address two questions: What are its fundamental drivers? And, given these drivers, are recent levels of volatility unexpectedly low?
Key concepts: Volatility (finance), Implied volatility, Equity (law), Volatility smile, Financial economics, Economics, Variance swap, Econometrics