Net Buying Pressure and Implied Volatility in SP500 Index Futures Options: The Effect of Market Cycles and Intraday Trading

We analyze the cyclical behavior and intraday pattern of net buying pressure in S&P 500 futures options market. The test results suggest that net buying pressure of puts is counter-cyclical and the pressure is more intense during market downturn. The trading profits for put options during the bear markets thus far exceed those in the bull markets. Net buying pressure also exh..