## Abstract During the last weeks before each quarterly expiration of Standard & Poor's (S&P) 500 futures, the bulk of trading volume begins to shift away from the nextβtoβexpire (nearby or lead) contract toward the secondβtoβexpire (next out) contract. At some point, the exchange formally redesign
Estimating the volatility of S&P 500 futures prices using the extreme-value method
β Scribed by James B. Wiggins
- Publisher
- John Wiley and Sons
- Year
- 1992
- Tongue
- English
- Weight
- 539 KB
- Volume
- 12
- Category
- Article
- ISSN
- 0270-7314
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
for their comments and contributions to this research. The views expressed here are those of the authors and do not necessarily reflect those of the Commodity Futures Trading Commission or its staff. 'Slrategic Assessment (1990), p. 25.
A termination of the futures' break-even price or fair value. Conceptually, being able to sell futures at prices above the break-even, or to buy futures at prices below the break-even, offers opportunity for incremental gain. This article points out an important, though widely unappreciated, caveat.
he volatility of the stock market is a matter of great concern to investors. The high T level of market volatility has attracted regulatory attention since the crash of October 19, 1987. The stock market is believed to be more volatile now than it has been in the past. Investor surveys conducted aft
two countries in the civilized world which are to Canada special markings of goods is somenot metric are the British Empire and the times necessary, since Canada refuses to United States; yet even British and American allow the importation of goods in containers measures are not the same. For instan