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Option expirations and treasury bond futures prices

✍ Scribed by Anand K. Bhattacharya

Publisher
John Wiley and Sons
Year
1987
Tongue
English
Weight
918 KB
Volume
7
Category
Article
ISSN
0270-7314

No coin nor oath required. For personal study only.

✦ Synopsis

ptions on financial futures are relatively new financial instruments, although 0 options on commodities have been in existence since the Nineteenth Century. 'See Johnson (1982a) for a chronology of the historical developments in commodity option trading. Trading in options on nonfarm futures contracts and on nonfarm physical commodities such as gold and silver was extended indefinitely by the CFTC on August 13, 1985. A similar three year pilot program for agricultural options will expire on January 25, 1987.

The author would like to thank the editor, Dr. Mark Powers, for help and encouragement; two anonymous reviewers of this Journal whose comments greatly improved the quality of the article; and Srinivasan Sundaram for research assistance. All emrs are the sole responsihility of the author.

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