• Option spread and combination trading 

    Chaput, J Scott; Ederington, Louis H
    Documenting spread and combination trading in a major options market for the first time, we find that spreads and combinations collectively account for over 55% of large trades (trades of 100 contracts or more) in the ...
  • Ratio spreads 

    Chaput, J Scott; Ederington, Louis H
    Ratio spreads in which one buys X calls (or puts) at one strike and sells Y calls (puts) at a different strike where YX are among the most actively traded option combinations yet are only briefly mentioned in most derivatives ...
  • Why are those options smiling? 

    Ederington, Louis H; Guan, Wei
    This paper tests whether the true smile in implied volatilities is flat. The smile in observed Black-Scholes implied volatilities has often been attributed to deficiencies in the B-S model, such as the assumption of constant ...