Identifying Demand Curves in Index Option Markets

The authors thank the editor Lukas Schmid, two anonymous referees, Rohit Allena, David Bates, Nicole Branger, George Constantinides, Christian Dorion, Hitesh Doshi, Bjørn Eraker, Pedro Garcia, Antonio Gargano, Tom George, Ralph Koijen, Albert Menkveld, Dmitriy Muravyev, Neil Pearson, Guillaume Roussellet, Lukas Schmid, Ivan Shaliastovich, and participants in seminars at the University of Houston, Rice University, Case Western, UT Dallas, the 2022 Cancun Derivatives Workshop, the 2022 Midwest Finance Association and Eastern Finance Association Conferences, the 2022 Swiss Society for Financial Market Research Conference, the 2022 SoFiE Conference, the 2022 CDI Conference, the 2022 FMA Conference, the 2023 Virtual Derivatives Workshop, and the 2023 CBOE-FMA Conference on Derivatives and Volatility. This work was completed in part with resources provided by the Research Computing Data Core at the University of Houston.