Forums  > General  > future volatility increase as it gets closer to expiration  
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Total Posts: 30
Joined: Jul 2007
Posted: 2017-07-17 22:55
Is there a standard name for this effect?


Total Posts: 29
Joined: Sep 2009
Posted: 2017-07-18 08:07
The Samuelson hypothesis or the Samuelson effect. Most likely due to mean-reversion in the spot price.


Total Posts: 1591
Joined: Sep 2006
Posted: 2017-07-18 10:12
I think this is the generally accepted source:

Samuelson, P. A., Spring 1965. Proof that properly anticipated prices fluctuate randomly. Industrial Management Review 6 (2), 41–49.


Total Posts: 266
Joined: May 2006
Posted: 2017-07-18 11:53

Witching hour, witching day etc.

"People say nothing's impossible, but I do nothing every day" --Winnie The Pooh


Total Posts: 30
Joined: Jul 2007
Posted: 2017-07-18 15:23
Thanks! I have heard of it referred to as Samuelson effect but was not sure it was commonly used.
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