Do Market and Contract Designs Matter? Evidence from the CAC 40 Index Options Market * Gunther Capelle-Blancard § and Mo Chaudhury ¶ First draft: May 23, 2001 This draft: April 01, 2003 Corresponding Address: Mo Chaudhury, SF Capital Management, Freddie Mac, 8200 Jones Branch Drive, Mail Stop 136, McLean, VA 22102, USA, Tel: (703) 903-3813, Fax: (703) 903-2377, Email: mo_Chaudhury@freddiemac.com. * G. Capelle-Blancard acknowledges the financial support from the Centre de Coopération Inter-universitaire Franco- Québecoise. Thanks are due to Peter Christofferson, Sanjiv Das, Vihang Errunza, Kris Jacobs, Michele Robe, Piere Ruiz, Sergei Sarkissian, and seminar participants at the 2001 Asia Pacific Finance Association Meetings in Bangkok, the 2001 French Finance Association Winter Meetings in Paris, the 2002 European Meeting of the Econometric Society in Venice and McGill University. The usual disclaimer applies. § CADRE, Université Lille 2 & TEAM-CNRS, Université Paris 1 Panthéon-Sorbonne. 106-112 Bd de l'Hôpital 75647 Cedex 13 Paris, France, Tel: 33-1-44078271, Fax: 33-1-44078270, Email: gunther.capelle-blancard@univ-paris1.fr. ¶ SF Capital Management, Freddie Mac, 8200 Jones Branch Drive, Mail Stop 136, McLean, VA 22102, USA, Tel: (703) 903-3813, Email: mo_Chaudhury@freddiemac.com, and Faculty of Management, McGill University, 1001, Sherbrooke Street West, Montreal, Canada H3A 1G5, Tel: (514) 398-5927, Email: mo.Chaudhury@mcgill.ca, chaudhur@management.mcgill.ca. The views expressed in this paper are those of the author and not of Freddie Mac.