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This paper compares the changes in implied volatilities of options on Nasdaq 100 and Russell 2000 value and growth portfolios. Following Stein (1989) and Heynen, Kemna, and Vorst's (1994) , we assume mean reversion, GARCH and EGARCH models for volatility. The empirical evidence using put options indicates a greater degree of overreaction or misreaction in options on growth indices as proxied by Nasdaq 100 and Russell 2000 growth compared to options on Russell 2000 value. However, the resultsdoi:10.1007/s11156-009-0134-y fatcat:woqk4zi2vfhedogukj4lru3sfu