Scott Mixon

Commodity Futures Trading Commission

Commodity Futures Trading Commission

1155 21st Street NW

Washington, DC 20581

United States

SCHOLARLY PAPERS

13

DOWNLOADS
Rank 13,456

SSRN RANKINGS

Top 13,456

in Total Papers Downloads

3,606

SSRN CITATIONS
Rank 14,183

SSRN RANKINGS

Top 14,183

in Total Papers Citations

10

CROSSREF CITATIONS

52

Scholarly Papers (13)

1.

Option Markets and Implied Volatility: Past Versus Present

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 72 Posted: 24 Mar 2006 Last Revised: 14 Nov 2010
Scott Mixon
Commodity Futures Trading Commission
Downloads 1,022 (21,300)
Citation 2

Abstract:

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Options, implied volatility, market efficiency

2.

The Crisis of 1873: Perspectives from Multiple Asset Classes

The Journal of Economic History, Vol. 68, No. 3, pp. 722-757, September 2008
Number of pages: 58 Posted: 29 Jul 2005 Last Revised: 06 Oct 2008
Scott Mixon
Commodity Futures Trading Commission
Downloads 794 (30,601)

Abstract:

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Crisis of 1873, options, implied distribution

3.

Volatility Derivatives in Practice: Activity and Impact

Number of pages: 52 Posted: 25 Jan 2015 Last Revised: 12 Aug 2015
Scott Mixon and Esen Onur
Commodity Futures Trading Commission and Commodity Futures Trading Commission (CFTC)
Downloads 627 (42,122)
Citation 10

Abstract:

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Variance swap, VIX futures, options, demand pressure, buying pressure

4.

The Implied Volatility Term Structure of Stock Index Options

Journal of Empirical Finance, Vol. 14, No. 3, 2007
Number of pages: 40 Posted: 28 Mar 2011
Scott Mixon
Commodity Futures Trading Commission
Downloads 468 (61,214)
Citation 2

Abstract:

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implied volatility, volatility term structure, expectations hypothesis, volatility risk premium

5.

Factors Explaining Movements in the Implied Volatility Surface

Journal of Futures Markets, Vol. 22, No. 10, pp. 915-937, 2002
Number of pages: 29 Posted: 29 Mar 2011
Scott Mixon
Commodity Futures Trading Commission
Downloads 212 (145,959)

Abstract:

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6.

The Foreign Exchange Option Market, 1917-1921

Number of pages: 35 Posted: 27 Jan 2009
Scott Mixon
Commodity Futures Trading Commission
Downloads 162 (186,022)
Citation 2

Abstract:

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options, status, social networks, foreign exchange, First World War

7.

Exploring Commodity Trading Activity: An Integrated Analysis of Swaps and Futures

Number of pages: 40 Posted: 23 Dec 2016
Scott Mixon, Esen Onur and Lynn Riggs
Commodity Futures Trading Commission, Commodity Futures Trading Commission (CFTC) and Commodity Futures Trading Commission (CFTC)
Downloads 117 (241,207)
Citation 1

Abstract:

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swaps market, futures market, WTI crude derivatives

8.

Political and Monetary Uncertainty During the Greenback Era: Evidence from Gold Options

Number of pages: 35 Posted: 02 Oct 2006
Scott Mixon
Commodity Futures Trading Commission
Downloads 110 (252,169)

Abstract:

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Political uncertainty, greenbacks, implied volatility, Resumption Act

9.

U.S. Experience with Futures Transactions Taxes: Effects in a Highly Intermediated Market

Number of pages: 50 Posted: 29 Jan 2016 Last Revised: 30 Jan 2016
Scott Mixon
Commodity Futures Trading Commission
Downloads 45 (412,060)

Abstract:

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futures market, transactions tax, liquidity

10.

Price Pressure and Price Discovery in the Term Structure of Interest Rates

FEDS Working Paper No. 2018-065
Number of pages: 44 Posted: 05 Oct 2018 Last Revised: 21 Feb 2019
Scott Mixon and Tugkan Tuzun
Commodity Futures Trading Commission and Federal Reserve Board
Downloads 36 (447,715)

Abstract:

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Dealers, Liquidity, Price discovery, Price pressure, Treasury market

11.

Model Risk: Lessons from Past Catastrophes

Scott Mixon, MODEL RISK: LESSONS FROM PAST CATASTROPHES, Model Risk Evaluation Handbook, Christian Hoppe, Greg N. Gregoriou, Carsten Wehn, eds., May 2010
Number of pages: 23 Posted: 08 Sep 2009 Last Revised: 14 Feb 2016
Scott Mixon
Commodity Futures Trading Commission
Downloads 13 (572,511)

Abstract:

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12.

Dividend Swaps and Dividend Futures: State of Play

Forthcoming, Journal of Alternative Investments, https://doi.org/10.3905/jai.2017.19.3.027
Posted: 18 Mar 2015 Last Revised: 22 May 2019
Scott Mixon and Esen Onur
Commodity Futures Trading Commission and Commodity Futures Trading Commission (CFTC)
Downloads 0 (677,888)

Abstract:

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Dividend, swaps, futures

13.

What Does Implied Volatility Skew Measure?

The Journal of Derivatives Summer 2011, 18 (4) 9-25, https://doi.org/10.3905/jod.2011.18.4.009
Posted: 02 Jun 2010
Scott Mixon
Commodity Futures Trading Commission

Abstract:

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Options, Implied Volatility Skew

Other Papers (1)

Total Downloads: 64
1.

A Warning About Calendar Conventions and the VIX

Number of pages: 16 Posted: 13 Jul 2006
Scott Mixon
Commodity Futures Trading Commission
Downloads 64

Abstract:

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implied volatility, VIX, VXN