Traders in the nineteenth century appear to have priced options the same way that twenty-first-century
traders price options. Empirical regularities relating implied volatility to realized …

… The research presented in this paper was co-authored by Scott Mixon and Esen Onur in
their official capacities with CFTC. The Office of the Chief Economist and CFTC economists …

This article analyzes asset pricing behavior during the period leading up to the Crisis of
1873. Evidence is presented that equities, options, and bonds priced risks consistently, …

This article explores the relationship of changes in the S&P 500 index implied volatility
surface to economic state variables. Observable variables can explain some of the variation in …

This paper tests the expectations hypothesis of the term structure of implied volatility for
several national stock market indexes. The tests indicate that the slope of at-the-money implied …

The Black–Scholes model has been acknowledged as a brilliant breakthrough in asset pricing
theory. But in applying it to real world options, problems immediately arose, because the …

… The research presented in this paper was co-authored by Scott Mixon and Esen Onur, CFTC
employees who wrote this paper in their official capacities with the CFTC. The Office of the …

This paper introduces new regulatory data that provides unprecedented visibility into swaps
positions of dealers and their counterparties. Our analysis suggests that, contrary to …

We decompose the VIX futures term structure into systematic components driving the VIX
and idiosyncratic components reflecting demand by various types of futures end‐users. We …

… The research presented in this paper was authored by Scott Mixon, a CFTC employee
who wrote this paper in his official capacity with the CFTC. The analyses and conclusions …