This paper examines the impact of net buying pressure and the event of 9/11 on the implied volatility of
the U.K. FTSE 100 (Financial Times and the London Stock Exchange) index options. Our findings
indicate that when effects such as financial leverage, information flow and mean reversion are held
constant, the net buying pressure of the out-of-the-money put options plays a dominant role in
determining the shape of the implied volatility function. Further, the event of 9/11 has a transitory
influence on the implied volatility change. Our results also support the notion that hedging pressure can
help explain the difference between implied volatility and realized volatility
