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This is the first paper to study the options written on the Invesco Currency Shares Australian Dollar Trust (FXA) exchange‐traded fund (ETF). We quantify the empirical characteristics of the FXA option implied volatility (IV) curve showing that it exhibits a smirk shape, as in US equity options, and the curves become more negatively sloped and exhibit more convexity as the time to maturity increases...
This paper studies the New Zealand (NZ) dairy derivatives, specifically, whole milk powder (WMP) options, which have been the most actively traded options in NZ since their inception in November 2011. Using the methodology of Zhang and Xiang, the dynamics of the implied volatility smirk of WMP options is documented. Overall, the level, slope and curvature were found to be 0.2625, −0.0194 and 0.0756,...
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