Issues with Implied Volatilities
OptionMetrics records stock options prices at 359 p.m., not 400 p.m., causing changes in implied volatility spreads and affecting stock comovement, especially during the COVID-19 pandemic.
Featured in No. 43 on 3 Apr 2024 ·
- Released
- 22 Mar 2022
- First featured
- No. 43 · 3 Apr 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 4780085
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