An analysis between implied and realised volatility in the Greek Derivatives Market

In this article, we examine the relationship between implied and realised volatility in the Greek derivative market. We examine the differences between realised volatility and implied volatility of call and put options for at-the-money index options with a two-month expiration period. The findings provide evidence that implied volatility is not an efficient estimate of realised volatility. Implied volatility creates overpricing, for both call and put options, in the Greek market. This is an indication of inefficiency for the market. In addition, we find evidence that realised volatility ‘Granger causes’ implied volatility for call options, and implied volatility of call options ‘Granger causes’, the implied volatility of put option

Differential cartilaginous tissue formation by human synovial membrane, fat pad, meniscus cells and articular chondrocytes

Objective: To identify an appropriate cell source for the generation of meniscus substitutes, among those which would be available by arthroscopy of injured knee joints. Methods: Human inner meniscus cells, fat pad cells (FPC), synovial membrane cells (SMC) and articular chondrocytes (AC) were expanded with or without specific growth factors (Transforming growth factor-betal, Fibroblast growth factor-2 and Plate let-derived growth factor bb, TFP) and then induced to form three-dimensional cartilaginous tissues in pellet cultures, or using a hyaluronan-based scaffold (Hyaff(R)-11), in culture or in nude mice. Human native menisci were assessed as reference. Results: Cell expansion with TFP enhanced glycosaminoglycan (GAG) deposition by all cell types (up to 4.1-fold) and messenger RNA expression of collagen type II by FPC and SMC (up to 472-fold) following pellet culture. In all models, tissues generated by AC contained the highest fractions of GAG (up to 1.9 were positively stained for collagen type II (specific of the inner avascular region of meniscus), type IV (mainly present in the outer vascularized region of meniscus) and types I, III and VI (common to both meniscus regions). Instead, inner meniscus, FPC and SMC developed tissues containing negligible GAG and no detectable collagen type II protein. Tissues generated by AC remained biochemically and phenotypically stable upon ectopic implantation. Conclusions: Under our experimental conditions, only AC generated tissues containing relevant amounts of GAG and with cell phenotypes compatible with those of the inner and outer meniscus regions. Instead, the other investigated cell sources formed tissues resembling only the outer region of meniscus. It remains to be determined whether grafts based on AC will have the ability to reach the complex structural and functional organization typical of meniscus tissue. (C) 2006 Osteoarthritis Research Society International. Published by Elsevier Ltd. All rights rese

The effect of asymmetries on stock index return value-at-risk estimates

It is widely accepted that equity return volatility increases more following negative shocks rather than positive shocks. However, much of value-at-risk (VaR) analysis relies on the assumption that returns are normally distributed (a symmetric distribution). This article considers the effect of asymmetries on the evaluation and accuracy of VaR by comparing estimates based on various models

A novel formulation of inhaled sodium cromoglicate (PA101) in idiopathic pulmonary fibrosis and chronic cough: a randomised, double-blind, proof-of-concept, phase 2 trial

Background Cough can be a debilitating symptom of idiopathic pulmonary fibrosis (IPF) and is difficult to treat. PA101 is a novel formulation of sodium cromoglicate delivered via a high-efficiency eFlow nebuliser that achieves significantly higher drug deposition in the lung compared with the existing formulations. We aimed to test the efficacy and safety of inhaled PA101 in patients with IPF and chronic cough and, to explore the antitussive mechanism of PA101, patients with chronic idiopathic cough (CIC) were also studied. Methods This pilot, proof-of-concept study consisted of a randomised, double-blind, placebo-controlled trial in patients with IPF and chronic cough and a parallel study of similar design in patients with CIC. Participants with IPF and chronic cough recruited from seven centres in the UK and the Netherlands were randomly assigned (1:1, using a computer-generated randomisation schedule) by site staff to receive PA101 (40 mg) or matching placebo three times a day via oral inhalation for 2 weeks, followed by a 2 week washout, and then crossed over to the other arm. Study participants, investigators, study staff, and the sponsor were masked to group assignment until all participants had completed the study. The primary efficacy endpoint was change from baseline in objective daytime cough frequency (from 24 h acoustic recording, Leicester Cough Monitor). The primary efficacy analysis included all participants who received at least one dose of study drug and had at least one post-baseline efficacy measurement. Safety analysis included all those who took at least one dose of study drug. In the second cohort, participants with CIC were randomly assigned in a study across four centres with similar design and endpoints. The study was registered with ClinicalTrials.gov (NCT02412020) and the EU Clinical Trials Register (EudraCT Number 2014-004025-40) and both cohorts are closed to new participants. Findings Between Feb 13, 2015, and Feb 2, 2016, 24 participants with IPF were randomly assigned to treatment groups. 28 participants with CIC were enrolled during the same period and 27 received study treatment. In patients with IPF, PA101 reduced daytime cough frequency by 31·1% at day 14 compared with placebo; daytime cough frequency decreased from a mean 55 (SD 55) coughs per h at baseline to 39 (29) coughs per h at day 14 following treatment with PA101, versus 51 (37) coughs per h at baseline to 52 (40) cough per h following placebo treatment (ratio of least-squares [LS] means 0·67, 95% CI 0·48–0·94, p=0·0241). By contrast, no treatment benefit for PA101 was observed in the CIC cohort; mean reduction of daytime cough frequency at day 14 for PA101 adjusted for placebo was 6·2% (ratio of LS means 1·27, 0·78–2·06, p=0·31). PA101 was well tolerated in both cohorts. The incidence of adverse events was similar between PA101 and placebo treatments, most adverse events were mild in severity, and no severe adverse events or serious adverse events were reported. Interpretation This study suggests that the mechanism of cough in IPF might be disease specific. Inhaled PA101 could be a treatment option for chronic cough in patients with IPF and warrants further investigation

Effects of sleep disturbance on dyspnoea and impaired lung function following hospital admission due to COVID-19 in the UK: a prospective multicentre cohort study

Background: Sleep disturbance is common following hospital admission both for COVID-19 and other causes. The clinical associations of this for recovery after hospital admission are poorly understood despite sleep disturbance contributing to morbidity in other scenarios. We aimed to investigate the prevalence and nature of sleep disturbance after discharge following hospital admission for COVID-19 and to assess whether this was associated with dyspnoea. Methods: CircCOVID was a prospective multicentre cohort substudy designed to investigate the effects of circadian disruption and sleep disturbance on recovery after COVID-19 in a cohort of participants aged 18 years or older, admitted to hospital for COVID-19 in the UK, and discharged between March, 2020, and October, 2021. Participants were recruited from the Post-hospitalisation COVID-19 study (PHOSP-COVID). Follow-up data were collected at two timepoints: an early time point 2–7 months after hospital discharge and a later time point 10–14 months after hospital discharge. Sleep quality was assessed subjectively using the Pittsburgh Sleep Quality Index questionnaire and a numerical rating scale. Sleep quality was also assessed with an accelerometer worn on the wrist (actigraphy) for 14 days. Participants were also clinically phenotyped, including assessment of symptoms (ie, anxiety [Generalised Anxiety Disorder 7-item scale questionnaire], muscle function [SARC-F questionnaire], dyspnoea [Dyspnoea-12 questionnaire] and measurement of lung function), at the early timepoint after discharge. Actigraphy results were also compared to a matched UK Biobank cohort (non-hospitalised individuals and recently hospitalised individuals). Multivariable linear regression was used to define associations of sleep disturbance with the primary outcome of breathlessness and the other clinical symptoms. PHOSP-COVID is registered on the ISRCTN Registry (ISRCTN10980107). Findings: 2320 of 2468 participants in the PHOSP-COVID study attended an early timepoint research visit a median of 5 months (IQR 4–6) following discharge from 83 hospitals in the UK. Data for sleep quality were assessed by subjective measures (the Pittsburgh Sleep Quality Index questionnaire and the numerical rating scale) for 638 participants at the early time point. Sleep quality was also assessed using device-based measures (actigraphy) a median of 7 months (IQR 5–8 months) after discharge from hospital for 729 participants. After discharge from hospital, the majority (396 [62%] of 638) of participants who had been admitted to hospital for COVID-19 reported poor sleep quality in response to the Pittsburgh Sleep Quality Index questionnaire. A comparable proportion (338 [53%] of 638) of participants felt their sleep quality had deteriorated following discharge after COVID-19 admission, as assessed by the numerical rating scale. Device-based measurements were compared to an age-matched, sex-matched, BMI-matched, and time from discharge-matched UK Biobank cohort who had recently been admitted to hospital. Compared to the recently hospitalised matched UK Biobank cohort, participants in our study slept on average 65 min (95% CI 59 to 71) longer, had a lower sleep regularity index (–19%; 95% CI –20 to –16), and a lower sleep efficiency (3·83 percentage points; 95% CI 3·40 to 4·26). Similar results were obtained when comparisons were made with the non-hospitalised UK Biobank cohort. Overall sleep quality (unadjusted effect estimate 3·94; 95% CI 2·78 to 5·10), deterioration in sleep quality following hospital admission (3·00; 1·82 to 4·28), and sleep regularity (4·38; 2·10 to 6·65) were associated with higher dyspnoea scores. Poor sleep quality, deterioration in sleep quality, and sleep regularity were also associated with impaired lung function, as assessed by forced vital capacity. Depending on the sleep metric, anxiety mediated 18–39% of the effect of sleep disturbance on dyspnoea, while muscle weakness mediated 27–41% of this effect. Interpretation: Sleep disturbance following hospital admission for COVID-19 is associated with dyspnoea, anxiety, and muscle weakness. Due to the association with multiple symptoms, targeting sleep disturbance might be beneficial in treating the post-COVID-19 condition. Funding: UK Research and Innovation, National Institute for Health Research, and Engineering and Physical Sciences Research Council

Post-acute COVID-19 neuropsychiatric symptoms are not associated with ongoing nervous system injury

A proportion of patients infected with severe acute respiratory syndrome coronavirus 2 experience a range of neuropsychiatric symptoms months after infection, including cognitive deficits, depression and anxiety. The mechanisms underpinning such symptoms remain elusive. Recent research has demonstrated that nervous system injury can occur during COVID-19. Whether ongoing neural injury in the months after COVID-19 accounts for the ongoing or emergent neuropsychiatric symptoms is unclear. Within a large prospective cohort study of adult survivors who were hospitalized for severe acute respiratory syndrome coronavirus 2 infection, we analysed plasma markers of nervous system injury and astrocytic activation, measured 6 months post-infection: neurofilament light, glial fibrillary acidic protein and total tau protein. We assessed whether these markers were associated with the severity of the acute COVID-19 illness and with post-acute neuropsychiatric symptoms (as measured by the Patient Health Questionnaire for depression, the General Anxiety Disorder assessment for anxiety, the Montreal Cognitive Assessment for objective cognitive deficit and the cognitive items of the Patient Symptom Questionnaire for subjective cognitive deficit) at 6 months and 1 year post-hospital discharge from COVID-19. No robust associations were found between markers of nervous system injury and severity of acute COVID-19 (except for an association of small effect size between duration of admission and neurofilament light) nor with post-acute neuropsychiatric symptoms. These results suggest that ongoing neuropsychiatric symptoms are not due to ongoing neural injury

Accelarated immune ageing is associated with COVID-19 disease severity

Background The striking increase in COVID-19 severity in older adults provides a clear example of immunesenescence, the age-related remodelling of the immune system. To better characterise the association between convalescent immunesenescence and acute disease severity, we determined the immune phenotype of COVID-19 survivors and non-infected controls. Results We performed detailed immune phenotyping of peripheral blood mononuclear cells isolated from 103 COVID-19 survivors 3–5 months post recovery who were classified as having had severe (n = 56; age 53.12 ± 11.30 years), moderate (n = 32; age 52.28 ± 11.43 years) or mild (n = 15; age 49.67 ± 7.30 years) disease and compared with age and sex-matched healthy adults (n = 59; age 50.49 ± 10.68 years). We assessed a broad range of immune cell phenotypes to generate a composite score, IMM-AGE, to determine the degree of immune senescence. We found increased immunesenescence features in severe COVID-19 survivors compared to controls including: a reduced frequency and number of naïve CD4 and CD8 T cells (p < 0.0001); increased frequency of EMRA CD4 (p < 0.003) and CD8 T cells (p < 0.001); a higher frequency (p < 0.0001) and absolute numbers (p < 0.001) of CD28−ve CD57+ve senescent CD4 and CD8 T cells; higher frequency (p < 0.003) and absolute numbers (p < 0.02) of PD-1 expressing exhausted CD8 T cells; a two-fold increase in Th17 polarisation (p < 0.0001); higher frequency of memory B cells (p < 0.001) and increased frequency (p < 0.0001) and numbers (p < 0.001) of CD57+ve senescent NK cells. As a result, the IMM-AGE score was significantly higher in severe COVID-19 survivors than in controls (p < 0.001). Few differences were seen for those with moderate disease and none for mild disease. Regression analysis revealed the only pre-existing variable influencing the IMM-AGE score was South Asian ethnicity ( = 0.174, p = 0.043), with a major influence being disease severity ( = 0.188, p = 0.01). Conclusions Our analyses reveal a state of enhanced immune ageing in survivors of severe COVID-19 and suggest this could be related to SARS-Cov-2 infection. Our data support the rationale for trials of anti-immune ageing interventions for improving clinical outcomes in these patients with severe disease

Long COVID and cardiovascular disease: a prospective cohort study

Background Pre-existing cardiovascular disease (CVD) or cardiovascular risk factors have been associated with an increased risk of complications following hospitalisation with COVID-19, but their impact on the rate of recovery following discharge is not known. Objectives To determine whether the rate of patient-perceived recovery following hospitalisation with COVID-19 was affected by the presence of CVD or cardiovascular risk factors. Methods In a multicentre prospective cohort study, patients were recruited following discharge from the hospital with COVID-19 undertaking two comprehensive assessments at 5 months and 12 months. Patients were stratified by the presence of either CVD or cardiovascular risk factors prior to hospitalisation with COVID-19 and compared with controls with neither. Full recovery was determined by the response to a patient-perceived evaluation of full recovery from COVID-19 in the context of physical, physiological and cognitive determinants of health. Results From a total population of 2545 patients (38.8% women), 472 (18.5%) and 1355 (53.2%) had CVD or cardiovascular risk factors, respectively. Compared with controls (n=718), patients with CVD and cardiovascular risk factors were older and more likely to have had severe COVID-19. Full recovery was significantly lower at 12 months in patients with CVD (adjusted OR (aOR) 0.62, 95% CI 0.43 to 0.89) and cardiovascular risk factors (aOR 0.66, 95% CI 0.50 to 0.86). Conclusion Patients with CVD or cardiovascular risk factors had a delayed recovery at 12 months following hospitalisation with COVID-19. Targeted interventions to reduce the impact of COVID-19 in patients with cardiovascular disease remain an unmet need

Multiorgan MRI findings after hospitalisation with COVID-19 in the UK (C-MORE): a prospective, multicentre, observational cohort study

Introduction: The multiorgan impact of moderate to severe coronavirus infections in the post-acute phase is still poorly understood. We aimed to evaluate the excess burden of multiorgan abnormalities after hospitalisation with COVID-19, evaluate their determinants, and explore associations with patient-related outcome measures. Methods: In a prospective, UK-wide, multicentre MRI follow-up study (C-MORE), adults (aged ≥18 years) discharged from hospital following COVID-19 who were included in Tier 2 of the Post-hospitalisation COVID-19 study (PHOSP-COVID) and contemporary controls with no evidence of previous COVID-19 (SARS-CoV-2 nucleocapsid antibody negative) underwent multiorgan MRI (lungs, heart, brain, liver, and kidneys) with quantitative and qualitative assessment of images and clinical adjudication when relevant. Individuals with end-stage renal failure or contraindications to MRI were excluded. Participants also underwent detailed recording of symptoms, and physiological and biochemical tests. The primary outcome was the excess burden of multiorgan abnormalities (two or more organs) relative to controls, with further adjustments for potential confounders. The C-MORE study is ongoing and is registered with ClinicalTrials.gov, NCT04510025. Findings: Of 2710 participants in Tier 2 of PHOSP-COVID, 531 were recruited across 13 UK-wide C-MORE sites. After exclusions, 259 C-MORE patients (mean age 57 years [SD 12]; 158 [61%] male and 101 [39%] female) who were discharged from hospital with PCR-confirmed or clinically diagnosed COVID-19 between March 1, 2020, and Nov 1, 2021, and 52 non-COVID-19 controls from the community (mean age 49 years [SD 14]; 30 [58%] male and 22 [42%] female) were included in the analysis. Patients were assessed at a median of 5·0 months (IQR 4·2–6·3) after hospital discharge. Compared with non-COVID-19 controls, patients were older, living with more obesity, and had more comorbidities. Multiorgan abnormalities on MRI were more frequent in patients than in controls (157 [61%] of 259 vs 14 [27%] of 52; p5mg/L, OR 3·55 [1·23–11·88]; padjusted=0·025) than those without multiorgan abnormalities. Presence of lung MRI abnormalities was associated with a two-fold higher risk of chest tightness, and multiorgan MRI abnormalities were associated with severe and very severe persistent physical and mental health impairment (PHOSP-COVID symptom clusters) after hospitalisation. Interpretation: After hospitalisation for COVID-19, people are at risk of multiorgan abnormalities in the medium term. Our findings emphasise the need for proactive multidisciplinary care pathways, with the potential for imaging to guide surveillance frequency and therapeutic stratification. Funding: UK Research and Innovation and National Institute for Health Research

SARS-CoV-2-specific nasal IgA wanes 9 months after hospitalisation with COVID-19 and is not induced by subsequent vaccination

BACKGROUND: Most studies of immunity to SARS-CoV-2 focus on circulating antibody, giving limited insights into mucosal defences that prevent viral replication and onward transmission. We studied nasal and plasma antibody responses one year after hospitalisation for COVID-19, including a period when SARS-CoV-2 vaccination was introduced. METHODS: In this follow up study, plasma and nasosorption samples were prospectively collected from 446 adults hospitalised for COVID-19 between February 2020 and March 2021 via the ISARIC4C and PHOSP-COVID consortia. IgA and IgG responses to NP and S of ancestral SARS-CoV-2, Delta and Omicron (BA.1) variants were measured by electrochemiluminescence and compared with plasma neutralisation data. FINDINGS: Strong and consistent nasal anti-NP and anti-S IgA responses were demonstrated, which remained elevated for nine months (p < 0.0001). Nasal and plasma anti-S IgG remained elevated for at least 12 months (p < 0.0001) with plasma neutralising titres that were raised against all variants compared to controls (p < 0.0001). Of 323 with complete data, 307 were vaccinated between 6 and 12 months; coinciding with rises in nasal and plasma IgA and IgG anti-S titres for all SARS-CoV-2 variants, although the change in nasal IgA was minimal (1.46-fold change after 10 months, p = 0.011) and the median remained below the positive threshold determined by pre-pandemic controls. Samples 12 months after admission showed no association between nasal IgA and plasma IgG anti-S responses (R = 0.05, p = 0.18), indicating that nasal IgA responses are distinct from those in plasma and minimally boosted by vaccination. INTERPRETATION: The decline in nasal IgA responses 9 months after infection and minimal impact of subsequent vaccination may explain the lack of long-lasting nasal defence against reinfection and the limited effects of vaccination on transmission. These findings highlight the need to develop vaccines that enhance nasal immunity. FUNDING: This study has been supported by ISARIC4C and PHOSP-COVID consortia. ISARIC4C is supported by grants from the National Institute for Health and Care Research and the Medical Research Council. Liverpool Experimental Cancer Medicine Centre provided infrastructure support for this research. The PHOSP-COVD study is jointly funded by UK Research and Innovation and National Institute of Health and Care Research. The funders were not involved in the study design, interpretation of data or the writing of this manuscript