Abstract
This study analyzes the effect of the expiration of the Ibex‐35 Index derivatives, as well as the
first four stock options traded in the Spanish Equity Derivatives Exchange, on the return, conditional
volatility, and trading volume of the underlying assets. The analysis covers the period from the introduction of
the various derivatives to December 1995. This period has been divided into two subperiods in order to determine
if there are changes in the conclusions. The expiration of the Ibex‐35 index derivatives is associated
with an increase in the trading volume of the underlying asset, but it has no significant effect on either the
underlying asset prices or on the level of volatility on the expiration day. However, the expiration of the
stock options has significant impact on their underlying assets. We observed a downward pressure on prices and a
reduction of volatility level in the week before the expiration date and a significant increase in trading
volume on the expiration day. The absence of futures contracts on individual stocks, among other possible
causes, may explain these differences. © 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21:905–928,
2001