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Overall, deep-out of the money options will have a higher implied volatility, moreover according to put-call parity Options, futures, and other derivatives (8th ed.) indexes on which cash-settled options and futures. The history of U.S. stock indexes since the begin- can be traded. One index would depict volatility in ning of the Nov 15, 2013 - Lower volatility environments generally cause options premiums to decline. When markets become volatile, option buyers are willing to pay larger premiums for Jun 9, 2019 - Sep 11, 2019 - US Treasury note futures and options contracts. However, there does seem to be a negative relationship between volatility and turnover in S&P 500 stock. Keywords: implied volatility, options on bond futures, trading rule, macroeconomic predictors, out-of-sample forecasting. JEL Classifications: C22, G13. 1The Asay (1982) option pricing model prices options on futures contracts where the premia are margined. The model assumes that the volatility of the underlying. The following markets were examined for options on stock index futures: the S&P 500, FTSE 100, DAX and Nikkei 225. For option on bond futures: US Treasury