Abstract
In this paper, we study the behaviour of QQQ volatility in the spot and option markets around QQQ's move from AMEX to NASDAQ on 1 December 2004. We test whether the QQQ option implied volatility has changed around this event and whether this was a result of a change in spot volatility or hedging demand. We find that indeed the QQQ option implied volatility has changed around the time of the move. We document that neither QQQ spot volatility nor speculation has had an impact on the implied volatility change. We find that investor hedging activity is the driving force behind this change, in support of Bollen and Whaley's net buying pressure hypothesis. To the best of our knowledge, analysis of spot and option markets around moves of trading from one exchange to another and name changes have not been done before.
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