One market? Stocks, futures, and options during October 1987

Article Abstract:

We provide new evidence regarding the degree of integration among markets for stocks, futures and options prior to and during the October 1987 market crash. Where previous analyses have resulted in recommendations for the implementation of circuit breakers, the coordination of margin requirements across markets, and changes in regulatory jurisdiction, our analysis indicates that delinkage between markets during the crash was primarily caused by an antiquated mechanism for processing stock market orders. The results suggest that market integration may be better served by efficient order execution than by further restricting markets. (Reprinted by permission of the publisher.)

Security and commodity exchanges, Stock-exchange, Stock exchanges, Stock Market Crash, 1987

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Valuation of American future options: theory and empirical tests

Article Abstract:

Futures option contracts have grown to encompass a wide variety of products and commodities. This study reviews the premises and hypotheses existing about the American futures option valuation. The empirical data are drawn from the S and P 500 equity futures option market. There are crucial differences between options on futures contracts and options on common stock, the most important being the fact that in a futures option, a cash transaction does not occur. A comparison of American and European futures options markets reveals an American trend toward 'moneyness'.

Capital market, Capital markets, Commodity futures, Foreign exchange futures

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Does net buying pressure affect the shape of implied volatility functions?

Article Abstract:

A study considering the index and individual stock options and examining the net buying pressure and shape of the implied volatile function, is presented.

United States, Stock options, Purchasing power

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