📈 economics
Demand, Liquidity, and the Price of Crash Risk: Put-Call Asymmetry in Nifty-50 Index Options
This paper analyzes 16 years of Nifty-50 index option data to demonstrate that net buying pressure, liquidity, and systemic shocks affect the symmetric and directional components of implied volatility differently for calls versus puts, revealing distinct pricing mechanisms in India's retail-dominated market.
Original paper licensed under CC BY 4.0 (https://creativecommons.org/licenses/by/4.0/). This is an AI-generated explanation of the paper below. It is not written or endorsed by the authors. For technical accuracy, refer to the original paper. Read full disclaimer
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