Upsilon: A Joint Spot-Volatility-Time Sensitivity for Zero-Days-to-Expiration Index Options
The study defines Upsilon, an effective sensitivity for zero-days-to-expiration index options that captures the predictable, asymmetric joint dynamics of spot, implied volatility and time decay over their six-hour life.
Featured in No. 137 on 30 Oct 2026 · 6 days after release
- Released
- 24 Oct 2026
- First featured
- No. 137 · 30 Oct 2026
- Published in
- Not yet, as far as Semantic Scholar knows
- Fanfare
- 3 of 5
- Identifier
- SSRN 7663319
- Authors
- Jonathan Klip
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