{"title":"Implied volatility slopes and jumps in bitcoin options market","authors":"Tian Chen, Jun Deng, Jing Nie","doi":"10.1016/j.orl.2024.107135","DOIUrl":null,"url":null,"abstract":"<div><p>This paper derives a theoretical relation between the left and right slopes of the implied volatility curve with negative and positive price jumps. Empirical analysis using bitcoin options tick-by-tick data from Deribit exchange supported the theoretical findings that negative and positive jumps have reversal impacts on bitcoin options' implied volatility slopes even after the control of net-buying-pressure and realized positive and negative skewness measures.</p></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"55 ","pages":"Article 107135"},"PeriodicalIF":0.8000,"publicationDate":"2024-06-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Operations Research Letters","FirstCategoryId":"91","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0167637724000713","RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"OPERATIONS RESEARCH & MANAGEMENT SCIENCE","Score":null,"Total":0}
引用次数: 0
Abstract
This paper derives a theoretical relation between the left and right slopes of the implied volatility curve with negative and positive price jumps. Empirical analysis using bitcoin options tick-by-tick data from Deribit exchange supported the theoretical findings that negative and positive jumps have reversal impacts on bitcoin options' implied volatility slopes even after the control of net-buying-pressure and realized positive and negative skewness measures.
期刊介绍：
Operations Research Letters is committed to the rapid review and fast publication of short articles on all aspects of operations research and analytics. Apart from a limitation to eight journal pages, quality, originality, relevance and clarity are the only criteria for selecting the papers to be published. ORL covers the broad field of optimization, stochastic models and game theory. Specific areas of interest include networks, routing, location, queueing, scheduling, inventory, reliability, and financial engineering. We wish to explore interfaces with other fields such as life sciences and health care, artificial intelligence and machine learning, energy distribution, and computational social sciences and humanities. Our traditional strength is in methodology, including theory, modelling, algorithms and computational studies. We also welcome novel applications and concise literature reviews.
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