Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 3, 2023 erstellt
Description:
This paper addresses the question of how to measure market participants’ intra-day risk-neutral expectations. In contrast to widely used quotes data, we present a novel step-by-step approach to estimate intra-day risk-neutral densities (RND) by only using option trades data. Based on a unique data set from the Chicago Board Options Exchange (CBOE) containing every S&P 500 index option trade from 2004 until 2021, we show that expectation changes coincide with macroeconomic- and monetary announcements. Specifically, fixed effects panel regression analysis of higher moments and percentiles of the RND indicate that market participants’ risk-neutral expectations change within a day due to important macroeconomic news like the FOMC decisions, the Employment Report, and Jobless Claims, among others. The results are robust against several specifications, variable transformations, and subsample analysis