The incidence and prevalence of diabetes mellitus have grown significantly throughout the world, due primarily to the increase in type 2 diabetes. This overall increase in the number of people with ...diabetes has had a major impact on development of diabetic kidney disease (DKD), one of the most frequent complications of both types of diabetes. DKD is the leading cause of end-stage renal disease (ESRD), accounting for approximately 50% of cases in the developed world. Although incidence rates for ESRD attributable to DKD have recently stabilized, these rates continue to rise in high-risk groups such as middle-aged African Americans, Native Americans, and Hispanics. The costs of care for people with DKD are extraordinarily high. In the Medicare population alone, DKD-related expenditures among this mostly older group were nearly $25 billion in 2011. Due to the high human and societal costs, the Consensus Conference on Chronic Kidney Disease and Diabetes was convened by the American Diabetes Association in collaboration with the American Society of Nephrology and the National Kidney Foundation to appraise issues regarding patient management, highlighting current practices and new directions. Major topic areas in DKD included (1) identification and monitoring, (2) cardiovascular disease and management of dyslipidemia, (3) hypertension and use of renin-angiotensin-aldosterone system blockade and mineralocorticoid receptor blockade, (4) glycemia measurement, hypoglycemia, and drug therapies, (5) nutrition and general care in advanced-stage chronic kidney disease, (6) children and adolescents, and (7) multidisciplinary approaches and medical home models for health care delivery. This current state summary and research recommendations are designed to guide advances in care and the generation of new knowledge that will meaningfully improve life for people with DKD.
The incidence and prevalence of diabetes mellitus have grown significantly throughout the world, due primarily to the increase in type 2 diabetes. This overall increase in the number of people with ...diabetes has had a major impact on development of diabetic kidney disease (DKD), one of the most frequent complications of both types of diabetes. DKD is the leading cause of end-stage renal disease (ESRD), accounting for approximately 50% of cases in the developed world. Although incidence rates for ESRD attributable to DKD have recently stabilized, these rates continue to rise in high-risk groups such as middle-aged African Americans, Native Americans, and Hispanics. The costs of care for people with DKD are extraordinarily high. In the Medicare population alone, DKD-related expenditures among this mostly older group were nearly $25 billion in 2011. Due to the high human and societal costs, the Consensus Conference on Chronic Kidney Disease and Diabetes was convened by the American Diabetes Association in collaboration with the American Society of Nephrology and the National Kidney Foundation to appraise issues regarding patient management, highlighting current practices and new directions. Major topic areas in DKD included 1) identification and monitoring, 2) cardiovascular disease and management of dyslipidemia, 3) hypertension and use of renin-angiotensin-aldosterone system blockade and mineralocorticoid receptor blockade, 4) glycemia measurement, hypoglycemia, and drug therapies, 5) nutrition and general care in advanced-stage chronic kidney disease, 6) children and adolescents, and 7) multidisciplinary approaches and medical home models for health care delivery. This current state summary and research recommendations are designed to guide advances in care and the generation of new knowledge that will meaningfully improve life for people with DKD.
This paper examines the relation between net buying pressure and the shape of the implied volatility function (IVF) for index and individual stock options. We find that changes in implied volatility ...are directly related to net buying pressure from public order flow. We also find that changes in implied volatility of S&P 500 options are most strongly affected by buying pressure for index puts, while changes in implied volatility of stock options are dominated by call option demand. Simulated delta-neutral option-writing trading strategies generate abnormal returns that match the deviations of the IVFs above realized historical return volatilities.
Early Exercise of Put Options on Stocks BARRACLOUGH, KATHRYN; WHALEY, ROBERT E.
The Journal of finance (New York),
08/2012, Volume:
67, Issue:
4
Journal Article
Peer reviewed
U.S. exchange-traded stock options are exercisable before expiration. While put options should frequently be exercised early to earn interest, they are not. In this paper, we derive an early exercise ...decision rule and then examine actual exercise behavior during the period January 1996 through September 2008. We find that more than 3.96 million puts that should have been exercised early remain unexercised, representing over 3.7% of all outstanding puts. We also find that failure to exercise cost put option holders $1.9 billion in forgone interest income and that this interest is systematically captured by market makers and proprietary firms.
The terms of exchange‐traded stock option contracts are usually adjusted when corporate actions take place. These adjustments are made to safeguard the value of the outstanding option contracts. ...Recently, a new type of corporate event has appeared − levered and inverse exchange‐traded product issuers are reducing leverage ratios with increased frequency. While such changes directly affect option values, no contract adjustments are made, resulting in windfall transfers of wealth from outstanding long to outstanding short option holders. In one instance alone, the transfer was more than $US100 million. To remedy the problem, we offer a simple contract adjustment procedure.
Implied Volatility Functions: Empirical Tests Dumas, Bernard; Fleming, Jeff; Whaley, Robert E.
The Journal of finance (New York),
December 1998, Volume:
53, Issue:
6
Journal Article
Peer reviewed
Open access
Derman and Kani (1994), Dupire (1994), and Rubinstein (1994) hypothesize that asset return volatility is a deterministic function of asset price and time, and develop a deterministic volatility ...function (DVF) option valuation model that has the potential of fitting the observed cross section of option prices exactly. Using S&P 500 options from June 1988 through December 1993, we examine the predictive and hedging performance of the DVF option valuation model and find it is no better than an ad hoc procedure that merely smooths Black-Scholes (1973) implied volatilities across exercise prices and times to expiration.
This paper examines the effects of the nondiscretionary trading demands of volatility index (VIX) exchange‐traded products (ETPs) issuers on the prices and volumes in the VIX futures. We find that ...the ETPs' informationless, mechanical rebalancing of futures positions to maintain the constant maturity of the index and the promised leverage ratios of the VIX ETPs have significantly positive predictive power for end‐of‐day futures returns. We also show that the impact on price has diminished through time from increased liquidity provided by hedge funds, and the “natural” hedging of the issuers' inverse products.
Levered and inverse exchange-trade products (ETPs) are designed to provide geared
long and short exposures to the daily returns of various benchmark indexes. The
benchmarks may be any reference ...index, but the popular ones are indexes of stocks,
bonds, commodities, and volatility. The problem with these products is that they
are not generally well understood, particularly those with futures-based benchmarks.
Levered and inverse ETPs are neither suitable buy-and-hold investments nor effective
hedging tools. They are unstable and exist only as mechanisms for placing short-term
directional bets. Levered and inverse products are not, and cannot be, effective
investment management tools.
Disclosure: The authors report no conflicts of interest.
Editor's Note:
Submitted 22 April 2020
Accepted 23 September 2020 by Stephen J. Brown
This article was externally reviewed using our double-blind peer-review process.
When the article was accepted for publication, the authors thanked the reviewers
in their acknowledgments. David Chambers and Fanesca Young were the reviewers
for this article.
In this paper, we use call option prices to identify synergies and news from merger and acquisition (M&A) transaction announcements. We find that M&A announcements result in large and approximately ...equal gains to the bidder and the target on average, with the combined gains being large enough to justify the premium paid to target shareholders. On average, M&A announcements release good news about targets, but bad news about bidders. This suggests that market prices understate true synergy gains, and helps reconcile the generally negative market-based evidence on value-creation in takeovers with their continued prominence in everyday business strategy.
PDF
