Expiry Fridays and Volatility
I have often heard it quoted that Expiry Fridays (3rd Friday of each quarter) are more volatile days than usual. What have you heard?
In addition to this, does anybody have a link to research that confirms or denounces this "fact"?
(In particular I am thinking of the CME index futures here.)
In addition to this, does anybody have a link to research that confirms or denounces this "fact"?
(In particular I am thinking of the CME index futures here.)
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