Implied volatility slopes and jumps in bitcoin options market

IF 0.8 4区管理学 Q4 OPERATIONS RESEARCH & MANAGEMENT SCIENCE

Operations Research Letters Pub Date : 2024-06-06 DOI:10.1016/j.orl.2024.107135

Tian Chen, Jun Deng, Jing Nie

引用次数: 0

Abstract

This paper derives a theoretical relation between the left and right slopes of the implied volatility curve with negative and positive price jumps. Empirical analysis using bitcoin options tick-by-tick data from Deribit exchange supported the theoretical findings that negative and positive jumps have reversal impacts on bitcoin options' implied volatility slopes even after the control of net-buying-pressure and realized positive and negative skewness measures.

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比特币期权市场隐含波动率的倾斜和跳跃

本文从理论上推导出了价格负向和正向跳跃时隐含波动率曲线左右斜率之间的关系。利用来自 Deribit 交易所的比特币期权逐笔数据进行的实证分析支持了这一理论发现，即即使在控制了净买入压力和已实现的正负偏度测量后，负跳空和正跳空对比特币期权的隐含波动率斜率仍有反向影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Operations Research Letters 管理科学-运筹学与管理科学

CiteScore

2.10

自引率

9.10%

发文量

111

审稿时长

83 days

期刊介绍： Operations Research Letters is committed to the rapid review and fast publication of short articles on all aspects of operations research and analytics. Apart from a limitation to eight journal pages, quality, originality, relevance and clarity are the only criteria for selecting the papers to be published. ORL covers the broad field of optimization, stochastic models and game theory. Specific areas of interest include networks, routing, location, queueing, scheduling, inventory, reliability, and financial engineering. We wish to explore interfaces with other fields such as life sciences and health care, artificial intelligence and machine learning, energy distribution, and computational social sciences and humanities. Our traditional strength is in methodology, including theory, modelling, algorithms and computational studies. We also welcome novel applications and concise literature reviews.