The Volume Profile of Call Options

24 Pages Posted: 3 Oct 2011

See all articles by Dallas Brozik

Dallas Brozik

Marshall University - Division of Finance & Economics

Date Written: September 15, 2011

Abstract

Examination of the profile of the volume of call options traded and the prices at which they trade reveals a non-symmetric relationship which has implications concerning the empirical pricing of these contracts.

Keywords: Options, Volume, Empirical Price Curve

JEL Classification: G12

Suggested Citation

Brozik, Dallas, The Volume Profile of Call Options (September 15, 2011). Available at SSRN: https://ssrn.com/abstract=1928119 or http://dx.doi.org/10.2139/ssrn.1928119

Dallas Brozik (Contact Author)

Marshall University - Division of Finance & Economics ( email )

Huntington, WV 25755
United States
304-696-3234 (Phone)
304-696-3662 (Fax)

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