Recent Developments in Extracting Information from Options Markets

11 Pages Posted: 1 Aug 2005

See all articles by Roger Clews

Roger Clews

Bank of England

Nikolaos Panigirtzoglou

Queen Mary, University of London

James Proudman

Bank of England, Monetary Instruments and Markets Division

Abstract

The Monetary Policy Committee is provided with information from options markets to quantify market uncertainty about the future course of financial asset prices. For short-term interest rates, this is shown in the Inflation Report's blue fan chart. Similar information can be obtained from a wide range of other assets. This article compares the performance of alternative techniques for extracting information from options prices. Using a technique for estimating uncertainty about interest rates at a constant horizon a short way into the future, we consider how this uncertainty has evolved since the Bank was granted operational independence in May 1997.

Suggested Citation

Clews, Roger and Panigirtzoglou, Nikolaos and Proudman, James, Recent Developments in Extracting Information from Options Markets. Bank of England Quarterly Bulletin, February 2000. Available at SSRN: https://ssrn.com/abstract=764144

Roger Clews (Contact Author)

Bank of England ( email )

Threadneedle Street
London, EC2R 8AH
United Kingdom

Nikolaos Panigirtzoglou

Queen Mary, University of London ( email )

Mile End Road
London, London E1 4NS
United Kingdom

James Proudman

Bank of England, Monetary Instruments and Markets Division ( email )

Threadneedle Street
London, EC2R 8AH
United Kingdom

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