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Option-Implied Information and Predictability of Extreme Returns
(2013-01-28)
We study whether prices of traded options contain information about future extreme market events. Our option-implied conditional expectation of market loss due to tail events, or tail loss measure, predicts future market ...
CBOE
Cboe Global Markets, Inc. (Cboe) is one of the world's largest exchange holding companies, offering cutting-edge trading and investment solutions to investors
CMA
Credit Market Analysis (CMA) is a data and information company specializing in OTC derivatives markets. In July 2012, the company became part of the S&P Capital IQ division of McGraw-Hill