<?xml version="1.0" encoding="ISO-8859-1"?><article xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">
<front>
<journal-meta>
<journal-id>2683-2690</journal-id>
<journal-title><![CDATA[The Anáhuac journal]]></journal-title>
<abbrev-journal-title><![CDATA[The Anáhuac j.]]></abbrev-journal-title>
<issn>2683-2690</issn>
<publisher>
<publisher-name><![CDATA[Universidad Anáhuac del Sur S.C., Facultad de Economía y Negocios]]></publisher-name>
</publisher>
</journal-meta>
<article-meta>
<article-id>S2683-26902023000200038</article-id>
<article-id pub-id-type="doi">10.36105/theanahuacjour.2023v23n2.02</article-id>
<title-group>
<article-title xml:lang="en"><![CDATA[The impact of VXY and EM-VXY on the implied volatility of ATM option premiums for the USD/MXN exchange rate on the CBOE]]></article-title>
<article-title xml:lang="es"><![CDATA[El impacto del VXY y EM-VXY sobre la volatilidad implícita en las primas de las opciones ATM del tipo de cambio USD/MXN en el CBOE]]></article-title>
</title-group>
<contrib-group>
<contrib contrib-type="author">
<name>
<surname><![CDATA[García Luna Romero]]></surname>
<given-names><![CDATA[Daniel]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Salazar Garza]]></surname>
<given-names><![CDATA[José Ricardo]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Luis Zatarain]]></surname>
<given-names><![CDATA[Lucio Alán]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Zavala Durón]]></surname>
<given-names><![CDATA[Jesús Alberto]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
</contrib-group>
<aff id="Af1">
<institution><![CDATA[,Universidad de Monterrey  ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>Mexico</country>
</aff>
<pub-date pub-type="pub">
<day>00</day>
<month>12</month>
<year>2023</year>
</pub-date>
<pub-date pub-type="epub">
<day>00</day>
<month>12</month>
<year>2023</year>
</pub-date>
<volume>23</volume>
<numero>2</numero>
<fpage>38</fpage>
<lpage>67</lpage>
<copyright-statement/>
<copyright-year/>
<self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_arttext&amp;pid=S2683-26902023000200038&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_abstract&amp;pid=S2683-26902023000200038&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_pdf&amp;pid=S2683-26902023000200038&amp;lng=en&amp;nrm=iso"></self-uri><abstract abstract-type="short" xml:lang="en"><p><![CDATA[Abstract A series of econometric tests is proposed to study the impact of the VXY and EM-VXY indices on the implicit volatility of at-the-money options of the USD/MXN exchange rate and the premiums on their call and put options. The objective is to determine if these indicators can predict future changes in implied volatility and be used as entry or exit flags in investment and hedging strategies. Additionally, the volatility index (VIX), the USD/MXN exchange rate, and the Mexican Federal Treasury Certificates and London Interbank Offered Rate rates are included as complementary variables. Results show that although the EM-VXY, VIX, and the exchange rate are statistically significant for implicit volatility modeling, they do not have a predictive power that allows them to be used as entry or exit indicators. None of the variables are significant for modeling the premiums in call and put options. This research contributes to the filtering of instruments that, despite their design, may not contribute to the understanding of markets in emerging countries, such as Mexico. Future studies can extend this methodology to other exchange rates, trying different combinations of rates.]]></p></abstract>
<abstract abstract-type="short" xml:lang="es"><p><![CDATA[Resumen Se propone una serie de pruebas econométricas para estudiar el impacto de los índices VXY y EM-VXY sobre la volatilidad implícita de las opciones ATM del tipo de cambio USD/MXN y las primas en sus opciones de compra y venta. Se busca determinar si estos indicadores pueden predecir cambios futuros en la volatilidad implícita y ser utilizados como banderas de entrada o salida en estrategias de inversión y cobertura. Adicionalmente se incluyen el VIX, el tipo de cambio USD/MXN y las tasas CETES y LIBOR como variables complementarias. Se encuentra que si bien el índice EM-VXY, VIX y el tipo de cambio resultan estadísticamente significativos para el modelado de la volatilidad implícita, no poseen un poder predictivo que permita utilizarlos como indicadores de entrada o salida. Ninguna variable resulta significativa para modelar las primas en opciones de compra y venta. Esta investigación contribuye al filtrado de instrumentos que, pese a su diseño, parecieran no aportar al entendimiento de los mercados en países emergentes como México. Se recomienda extender esta metodología a otros pares de divisas, probando distintas combinaciones de tasas.]]></p></abstract>
<kwd-group>
<kwd lng="en"><![CDATA[Exchange Rate]]></kwd>
<kwd lng="en"><![CDATA[VXY]]></kwd>
<kwd lng="en"><![CDATA[EM-VXY]]></kwd>
<kwd lng="en"><![CDATA[Implied Volatility]]></kwd>
<kwd lng="en"><![CDATA[Options]]></kwd>
<kwd lng="en"><![CDATA[F31]]></kwd>
<kwd lng="en"><![CDATA[G17]]></kwd>
<kwd lng="es"><![CDATA[tipo de cambio]]></kwd>
<kwd lng="es"><![CDATA[VXY]]></kwd>
<kwd lng="es"><![CDATA[EM-VXY]]></kwd>
<kwd lng="es"><![CDATA[volatilidad implícita]]></kwd>
<kwd lng="es"><![CDATA[opciones]]></kwd>
<kwd lng="es"><![CDATA[F31]]></kwd>
<kwd lng="es"><![CDATA[G17]]></kwd>
</kwd-group>
</article-meta>
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