0DTEs: Trading, Gamma Risk and Volatility Propagation
A study reveals that short-term options trading does not increase market volatility, but rather has an inverse relationship with intraday volatility.
Featured in No. 33 on 17 Jan 2024 · 6 days after release · 6 citations today
- Released
- 11 Jan 2024
- First featured
- No. 33 · 17 Jan 2024
- Citations (Semantic Scholar)
- 6
- Influential citations
- 0
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 27
- Identifier
- SSRN 4692190
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).