Asset Details
- Identifier:
- fut22161-fig-0006
- Description:
- Constant maturity IV dynamics: Natural gas. This figure shows dynamics of the 30‐ and 180‐day constant maturity estimate ATM IV, slope, and curvature and the difference of the 180‐ and 30‐day factors in the natural gas market. (a) IV level in two terms, (b) difference in IV level, (c) IV slope in two terms, (d) difference in IV slope, (e) IV curvature in two terms, and (f) difference in IV curvature. ATM, at‐the‐money; IV, implied volatility [Color figure can be viewed at wileyonlinelibrary.com]
- License:
- Rights Managed
- Rights Holder:
- John Wiley & Sons, Inc.
- License Rights Holder:
- © 2020 Wiley Periodicals LLC
- Asset Type:
- Image
- Asset Subtype:
- Image Orientation:
- Portrait
- Image Dimensions:
- 1167 x 1582
- Image File Size:
- 460 KB
- Creator:
- Xiaolan Jia, Xinfeng Ruan, Jin E. Zhang
- Credit:
- Jia, X., Ruan, X., & Zhang, J. (2021). The implied volatility smirk of commodity options. Journal of Futures Markets, 41(1), 72-104. https://doi.org/10.1002/fut.22161.
- Collection:
- Keywords:
- Restrictions:
- Property Release:
- No
- Model Release:
- No
- Purchasable:
- Yes
- Sensitive Materials:
- No
- Article Title:
- The implied volatility smirk of commodity options
- Article Authors:
- Xiaolan Jia, Xinfeng Ruan, Jin E. Zhang
- Article Copyright Year:
- 2021
- Publication Title:
- Journal of Futures Markets
- Publication Volume:
- 41
- Publication Issue:
- 1
- Publication Date:
- 01/01/2021
- DOI:
- https://doi.org/10.1002/fut.22161
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