A Time Series Analysis of the Chicago Board Options Exchange Volatility Index (VIX)
|
|
|
- Beverly Harmon
- 10 years ago
- Views:
Transcription
1 A Time Series Analysis of the Chicago Board Options Exchange Volatility Index (VIX) Thomas Koundakjian Ryan Liebert December 6, 2014
2 Background Purpose of Study Chicago Board Options Exchange (CBOE) Volatility Index (VIX) The VIX An index that measures the market s perceived future volatility. More specifically, the VIX measures the market s expectation of future volatility implied by the S&P 500 stock index (SPX) option prices. Volatility has emerged as a new asset class that may be traded using a variety of trading vehicles, such as futures, that are based on the level of the VIX index. The VIX is updated continuously throughout the trading day. End-of-day historical data is freely available on the CBOE website.
3 Background Purpose of Study Appeal of modeling the VIX Theoretical Non stationary No clear trend Time-varying volatility Commercial Futures and Options on the VIX are actively traded Nicknamed the fear index so can be used to gauge market sentiment Useful for investors and policy makers
4 Background Purpose of Study The VIX Time Series
5 Background Purpose of Study Purpose of Study Research Questions Can the VIX be transformed into a stationary time series and robustly modeled as an ARIMA process? Can future values of the VIX be effectively forecasted based on an ARIMA model? What alternatives to an ARIMA modeling approach are appropriate for modeling the VIX?
6 ARIMA Modeling Forecasting ARMA Model for the Differenced Natural Logged VIX W t = W t 1 + Z t Z t 1 where W t = X t where X t is the natural logged VIX.
7 ARIMA Modeling Forecasting 1-step Ahead Forecast
8 Fractional Differencing GARCH Modeling Fractional Differencing of the VIX
9 Fractional Differencing GARCH Modeling GARCH Modeling for the VIX W t = W t 1 + ε t ε t 1 ε t = Z t ht h t = ε 2 t h t 1
10 Conclusions Conclusions The VIX presented several modeling challenges, and the forecasts of an ARMA(1,1) for the natural logged differenced VIX were disappointing. Additional modeling techniques were shown to be appropriate. Forecasts of the ARMA(1,1) + GARCH(1,1) may better capture volatility in the VIX, but were not performed in this study.
11 Conclusions Thanks for listening
CONSTRUCTION AND PROPERTIES OF VOLATILITY INDEX FOR WARSAW STOCK EXCHANGE
QUANTITATIVE METHODS IN ECONOMICS Vol. XV, No. 1, 2014, pp. 218 223 CONSTRUCTION AND PROPERTIES OF VOLATILITY INDEX FOR WARSAW STOCK EXCHANGE Tomasz Karol Wiśniewski Warsaw Stock Exchange, Indices and
Volatility Index (VIX) and S&P100 Volatility Index (VXO)
Volatility Index (VIX) and S&P100 Volatility Index (VXO) Michael McAleer School of Economics and Commerce University of Western Australia and Faculty of Economics Chiang Mai University Volatility Index
CBOE would like to thank Sandy Rattray and Devesh Shah of Goldman, Sachs & Co. for their significant contributions to the development of the New VIX
CBOE would like to thank Sandy Rattray and Devesh Shah of Goldman, Sachs & Co. for their significant contributions to the development of the New VIX calculation. THE NEW CBOE VOLATILITY INDEX - VIX In
Trading VIX Derivatives. Trading and Hedging Strategies Using VIX Futures, Options, and Exchange Traded Notes. Wiley Trading
Brochure More information from http://www.researchandmarkets.com/reports/2243212/ Trading VIX Derivatives. Trading and Hedging Strategies Using VIX Futures, Options, and Exchange Traded Notes. Wiley Trading
Charles University, Faculty of Mathematics and Physics, Prague, Czech Republic.
WDS'09 Proceedings of Contributed Papers, Part I, 148 153, 2009. ISBN 978-80-7378-101-9 MATFYZPRESS Volatility Modelling L. Jarešová Charles University, Faculty of Mathematics and Physics, Prague, Czech
Volatility Derivatives
Volatility Derivatives George Skiadopoulos Dept. of Banking and Financial Management, University of Piraeus & Financial Options Research Centre, University of Warwick Presentation at the Derivatives Forum
Quarterly. Equity Risk Premium
US Equity Risk Premium The equity risk premium ( ERP ) is the extra return over the expected yield on risk-free securities that investors expect to receive from an investment in a diversified portfolio
Understanding Volatility
Options Trading Forum October 2 nd, 2002 Understanding Volatility Sheldon Natenberg Chicago Trading Co. 440 S. LaSalle St. Chicago, IL 60605 (312) 863-8004 [email protected] exercise price time to expiration
2-Step Credit Spreads
2-Step Credit Spreads (with Weeklys SM Options) Jim Bittman Senior Instructor The Options Institute at CBOE Disclosures Options involve risks and are not suitable for all investors. Prior to buying or
EXECUTE SUCCESS. {at work}
EXECUTE SUCCESS TM {at work} VIX T H E C B O E V O L A T I L I T Y I N D E X 1 W H AT I S V I X & W H AT D O E S I T M E A S U R E? T H E I N D U S T R Y S TA N D A R D I N V O L AT I L I T Y MEASUREMENT
The SPX Size Advantage
SPX (SM) vs. SPY Advantage Series- Part II The SPX Size Advantage September 18, 2013 Presented by Marty Kearney @MartyKearney Disclosures Options involve risks and are not suitable for all investors. Prior
Russell Rhoads, CFA Instructor The Options Institute. 2010 Chicago Board Options Exchange, Incorporated. All rights reserved.
Trading VIX Futures and Options Russell Rhoads, CFA Instructor The Options Institute 2010 Chicago Board Options Exchange, Incorporated. All rights reserved. CBOE Disclaimer Options and futures involve
FTS Real Time System Project: Stock Index Options
FTS Real Time System Project: Stock Index Options Question: How do you trade stock index options using the FTS Real Time Client? In the sequence of FTS Real time option exercises you will learn all about
Ron Shaham. Expert Witness in Islamic Courts : Medicine and Crafts in the Service of Law. : University of Chicago Press,. p 38
: University of Chicago Press,. p 38 http://site.ebrary.com/id/10381149?ppg=38 : University of Chicago Press,. p 39 http://site.ebrary.com/id/10381149?ppg=39 : University of Chicago Press,. p 40 http://site.ebrary.com/id/10381149?ppg=40
. Perspectives on the Economics of Aging. : University of Chicago Press,. p 3 http://site.ebrary.com/id/10209979?ppg=3 Copyright University of
: University of Chicago Press,. p 3 http://site.ebrary.com/id/10209979?ppg=3 : University of Chicago Press,. p 4 http://site.ebrary.com/id/10209979?ppg=4 : University of Chicago Press,. p 297 http://site.ebrary.com/id/10209979?ppg=297
May not be reproduced in any form without permission from the publisher, except fair uses permitted under U.S. or applicable copyright law.
: University of Chicago Press,. p 24 http://site.ebrary.com/id/10292358?ppg=24 : University of Chicago Press,. p 25 http://site.ebrary.com/id/10292358?ppg=25 : University of Chicago Press,. p 26 http://site.ebrary.com/id/10292358?ppg=26
How To Take Advantage Of The Coming Rise In Volatility
How To Take Advantage Of The Coming Rise In Volatility Introduction If you ve spent any amount of time following the market, then you re familiar with the term volatility. You ll often hear financial media
Economic indicators dashboard
AS OF NOVEMBER 17, 2015 Economic indicators dashboard Vist www.blog.helpingadvisors.com for the full commentary of the Economic Indicators Dashboard. MOST RECENT 3-MO. trend TYPICAL range EXTREME range
Investors G u i d e 201 0 1 Investors Guide 2011
2011 Investors 2011 Guide 1. 2. 3. 01 Investors Guide 2011 1 2 5 3 4 6 Investors Guide 2011 02 03 Investors Guide 2011 1 2 3 4 5 Investors Guide 2011 04 1 2 2 2 05 Investors Guide 2011 3 3 3 4 5 5 5 Investors
Forum. Protection Strategies: Thinking beyond the VIX. A meeting place for views and ideas. Thomas Gillespie PhD, Director, Investment Risk Advisory
Forum A meeting place for views and ideas Protection Strategies: Thinking beyond the VIX Published September 2012 Authored by: Thomas Gillespie PhD, Director, Investment Risk Advisory Scott Maidel CFA
Rob J Hyndman. Forecasting using. 11. Dynamic regression OTexts.com/fpp/9/1/ Forecasting using R 1
Rob J Hyndman Forecasting using 11. Dynamic regression OTexts.com/fpp/9/1/ Forecasting using R 1 Outline 1 Regression with ARIMA errors 2 Example: Japanese cars 3 Using Fourier terms for seasonality 4
Binary options. Giampaolo Gabbi
Binary options Giampaolo Gabbi Definition In finance, a binary option is a type of option where the payoff is either some fixed amount of some asset or nothing at all. The two main types of binary options
Fishing for Trades using Implied Volatility
Dan Sheridan Fishing for Trades using Implied Volatility July 31, 2013 Sheridan Options Mentoring, Inc. www.sheridanmentoring.com Page 1 Sponsored by: Disclaimer Options involve risk and are not suitable
The Volatility Index Stefan Iacono University System of Maryland Foundation
1 The Volatility Index Stefan Iacono University System of Maryland Foundation 28 May, 2014 Mr. Joe Rinaldi 2 The Volatility Index Introduction The CBOE s VIX, often called the market fear gauge, measures
Investing In Volatility
Investing In Volatility By: Anish Parvataneni, CFA Portfolio Manager LJM Partners Ltd. LJM Partners, Ltd. is issuing a series a white papers on the subject of investing in volatility as an asset class.
The imprecision of volatility indexes
The imprecision of volatility indexes Rohini Grover Ajay Shah IGIDR Finance Research Group May 17, 2014 Volatility indexes The volatility index (VIX) is an implied volatility estimate that measures the
About Volatility Index. About India VIX
About Volatility Index Volatility Index is a measure of market s expectation of volatility over the near term. Volatility is often described as the rate and magnitude of changes in prices and in finance
What Constitutes Algo Trading in the Stock Options Market? A discussion of Mishra, Daigler, & Holowczak
What Constitutes Algo Trading in the Stock Options Market? A discussion of Mishra, Daigler, & Holowczak Liuren Wu Baruch College Stern Microstructure Meeting June 1, 2012 Liuren Wu (Baruch) Algo Trading
Time Series - ARIMA Models. Instructor: G. William Schwert
APS 425 Fall 25 Time Series : ARIMA Models Instructor: G. William Schwert 585-275-247 [email protected] Topics Typical time series plot Pattern recognition in auto and partial autocorrelations
Implied volatility surface
Implied atility surface The widespread practice of quoting option prices in terms of their Black-Scholes implied atilities (IVs) in no way implies that market participants believe underlying returns to
S&P/ASX 200 VIX Methodology
S&P/ASX 00 VIX Methodology S&P Dow Jones Indices: Index Methodology February 016 Table of Contents Introduction Highlights Index Construction 3 Approaches 3 Deriving VIX from ear Term and ext Term Options
Four Essays on the Empirical Properties of Stock Market Volatility
Four Essays on the Empirical Properties of Stock Market Volatility Thesis Presented to the Faculty of Economics and Social Sciences of the University of Fribourg (Switzerland) in fulfillment of the requirements
Identifying the Differences Between VIX Spot and Futures
PRACTICE ESSENTIALS STRATEGY 201 U.S. Identifying the Differences Between VIX Spot and Futures CONTRIBUTOR Berlinda Liu [email protected] The S&P Dow Jones Indices Practice Essentials series is a
Trading Debit Spreads. Peter Lusk. Instructor The Options Institute at CBOE
Trading Debit Spreads Peter Lusk Instructor The Options Institute at CBOE Disclosures In order to simplify the computations, commissions have not been included in the examples used in these materials.
Stock Market Indicators: Fundamental, Sentiment, & Technical
Stock Market Indicators: Fundamental, Sentiment, & Technical January 12, 216 Dr. Edward Yardeni 516-972-7683 eyardeni@ Joe Abbott 732-497-536 jabbott@ Debbie Johnson 48-664-1333 djohnson@ Mali Quintana
A Simple Expected Volatility (SEV) Index: Application to SET50 Index Options*
A Simple Expected Volatility (SEV) Index: Application to SET50 Index Options* Chatayan Wiphatthanananthakul Faculty of Economics, Chiang Mai University and Chulachomklao Royal Military Academy Thailand
How to use the Options/Warrants Calculator?
How to use the Options/Warrants Calculator? 1. Introduction Options/Warrants Calculator is a tool for users to estimate the theoretical prices of options/warrants in various market conditions by inputting
Using Implied Volatility And Volume
BASIC TECHNIQUES Forecasting Trends With Indexes Using Implied Volatility And Volume Construct a trend-following system that adjusts to current market conditions. T raditionally, technicians have relied
Volatility Based Sentiment Indicators for Timing the Markets
Volatility Based Sentiment Indicators for Timing the Markets School of Economics and Management Lund University Master Thesis of Finance Fabio Cacia 670715-0352 Rossen Tzvetkov 830504 T116 Abstract: VIX,
The Rise and Fall of S&P500 Variance Futures*
The Rise and Fall of S&P500 Variance Futures* Chia-Lin Chang Department of Applied Economics Department of Finance National Chung Hsing University Juan-Angel Jimenez-Martin Department of Quantitative Economics
... as if the world wasn t complicated
What lies ahead??? Options on Futures and Indexes... as if the world wasn t complicated enough already!! 2014 Gary R. Evans. May be used only for non-profit educational purposes only without permission
Online Appendix for Demand for Crash Insurance, Intermediary Constraints, and Risk Premia in Financial Markets
Online Appendix for Demand for Crash Insurance, Intermediary Constraints, and Risk Premia in Financial Markets Hui Chen Scott Joslin Sophie Ni August 3, 2015 1 An Extension of the Dynamic Model Our model
Predicting Indian GDP. And its relation with FMCG Sales
Predicting Indian GDP And its relation with FMCG Sales GDP A Broad Measure of Economic Activity Definition The monetary value of all the finished goods and services produced within a country's borders
Options on Futures on US Treasuries and S&P 500
Options on Futures on US Treasuries and S&P 500 Robert Almgren June 11, 2015 Options contracts on the S&P 500 equity index futures, and on the 10-year US Treasury note, are among the most active products
Index Options. James Bittman. Unique Features & Strategies. Senior Instructor The Options Institute at CBOE
Index Options Unique Features & Strategies James Bittman Senior Instructor The Options Institute at CBOE Disclosures In order to simplify the computations, commissions have not been included in the examples
ICC 103-7. 17 September 2009 Original: French. Study. International Coffee Council 103 rd Session 23 25 September 2009 London, England
ICC 103-7 17 September 2009 Original: French Study E International Coffee Council 103 rd Session 23 25 September 2009 London, England Coffee price volatility Background In the context of its programme
Stock Market Volatility and the Business Cycle
Burkhard Raunig, Johann Scharler 1 Refereed by: Johann Burgstaller, Johannes Kepler University Linz In this paper we provide a review of the literature on the link between stock market volatility and aggregate
1. Volatility Index. 2. India VIX* 3. India VIX :: computation methodology
1. Volatility Index Volatility Index is a measure of market s expectation of volatility over the near term. Usually, during periods of market volatility, market moves steeply up or down and the volatility
11. Time series and dynamic linear models
11. Time series and dynamic linear models Objective To introduce the Bayesian approach to the modeling and forecasting of time series. Recommended reading West, M. and Harrison, J. (1997). models, (2 nd
Does Black-Scholes framework for Option Pricing use Constant Volatilities and Interest Rates? New Solution for a New Problem
Does Black-Scholes framework for Option Pricing use Constant Volatilities and Interest Rates? New Solution for a New Problem Gagan Deep Singh Assistant Vice President Genpact Smart Decision Services Financial
Stock Market Volatility during the 2008 Financial Crisis
Stock Market Volatility during the 2008 Financial Crisis Kiran Manda * The Leonard N. Stern School of Business Glucksman Institute for Research in Securities Markets Faculty Advisor: Menachem Brenner April
DISCLAIMER. A Member of Financial Group
Tactical ETF Approaches for Today s Investors Jaime Purvis, Executive Vice-President Horizons Exchange Traded Funds April 2012 DISCLAIMER Commissions, management fees and expenses all may be associated
Answers to Concepts in Review
Answers to Concepts in Review 1. Puts and calls are negotiable options issued in bearer form that allow the holder to sell (put) or buy (call) a stipulated amount of a specific security/financial asset,
The Greek Implied Volatility Index: Construction and. Properties *
The Greek Implied Volatility Index: Construction and Properties * George Skiadopoulos ** This Draft: 27/08/2003 - Comments are very welcome Abstract There is a growing literature on implied volatility
Analysis of algorithms of time series analysis for forecasting sales
SAINT-PETERSBURG STATE UNIVERSITY Mathematics & Mechanics Faculty Chair of Analytical Information Systems Garipov Emil Analysis of algorithms of time series analysis for forecasting sales Course Work Scientific
Can Implied Volatility predict Stock Prices? By P.M. Vermeij Studentnr 0072796
By P.M. Vermeij Studentnr 0072796 2 Abstract Implied volatility can be a helpful tool for an investor. It shows when expected risks are high or low. It is very interesting to see if implied volatility
All Volatility Index Futures and Security Futures Market Participants
CFE Information Circular IC12-04 Date: January 6, 2012 To: From: Re: All Volatility Index Futures and Security Futures Market Participants Research and Product Development Department Volatility Index Futures
VIX, the CBOE Volatility Index
VIX, the CBOE Volatility Index Ser-Huang Poon September 5, 008 The volatility index compiled by the CBOE (Chicago Board of Option Exchange) has been shown to capture nancial turmoil and produce good volatility
Luciano Rispoli Department of Economics, Mathematics and Statistics Birkbeck College (University of London)
Luciano Rispoli Department of Economics, Mathematics and Statistics Birkbeck College (University of London) 1 Forecasting: definition Forecasting is the process of making statements about events whose
Contemporaneous Spill-over among Equity, Gold, and Exchange Rate Implied Volatility Indices
Contemporaneous Spill-over among Equity, Gold, and Exchange Rate Implied Volatility Indices Ihsan Ullah Badshah, Bart Frijns*, Alireza Tourani-Rad Department of Finance, Faculty of Business and Law, Auckland
EVALUATING THE PERFORMANCE CHARACTERISTICS OF THE CBOE S&P 500 PUTWRITE INDEX
DECEMBER 2008 Independent advice for the institutional investor EVALUATING THE PERFORMANCE CHARACTERISTICS OF THE CBOE S&P 500 PUTWRITE INDEX EXECUTIVE SUMMARY The CBOE S&P 500 PutWrite Index (ticker symbol
THE POTENTIAL MACROECONOMIC EFFECT OF DEBT CEILING BRINKMANSHIP
OCTOBER 2013 THE POTENTIAL MACROECONOMIC EFFECT OF DEBT CEILING BRINKMANSHIP Introduction The United States has never defaulted on its obligations, and the U. S. dollar and Treasury securities are at the
VARIABLES EXPLAINING THE PRICE OF GOLD MINING STOCKS
VARIABLES EXPLAINING THE PRICE OF GOLD MINING STOCKS Jimmy D. Moss, Lamar University Donald I. Price, Lamar University ABSTRACT The purpose of this study is to examine the relationship between an index
the basics of Implied Volatility
the basics of Implied Volatility About VSTOXX and VIX Short- and Mid-Term Futures Indices Volatility is a complex investment tool and is aimed at sophisticated investors who understand the way volatility
Impact of Derivative Trading On Stock Market Volatility in India: A Study of S&P CNX Nifty
Eurasian Journal of Business and Economics 2010, 3 (6), 139-149. Impact of Derivative Trading On Stock Market Volatility in India: A Study of S&P CNX Nifty Ruchika GAHLOT *, Saroj K. DATTA **, Sheeba KAPIL
Sensex Realized Volatility Index
Sensex Realized Volatility Index Introduction: Volatility modelling has traditionally relied on complex econometric procedures in order to accommodate the inherent latent character of volatility. Realized
BEAR: A person who believes that the price of a particular security or the market as a whole will go lower.
Trading Terms ARBITRAGE: The simultaneous purchase and sale of identical or equivalent financial instruments in order to benefit from a discrepancy in their price relationship. More generally, it refers
VIX for Variable Annuities
White Paper VIX for Variable Annuities A study considering the advantages of tying a Variable Annuity fee to VIX March 2013 VIX for Variable Annuities A study considering the advantages of tying a Variable
Using JMP Version 4 for Time Series Analysis Bill Gjertsen, SAS, Cary, NC
Using JMP Version 4 for Time Series Analysis Bill Gjertsen, SAS, Cary, NC Abstract Three examples of time series will be illustrated. One is the classical airline passenger demand data with definite seasonal
Options, Derivatives, Risk Management
1/1 Options, Derivatives, Risk Management (Welch, Chapter 27) Ivo Welch UCLA Anderson School, Corporate Finance, Winter 2014 January 13, 2015 Did you bring your calculator? Did you read these notes and
Monthly Economic Dashboard
RETIREMENT INSTITUTE SM Economic perspective Monthly Economic Dashboard Modest acceleration in economic growth appears in store for 2016 as the inventory-caused soft patch ends, while monetary policy moves
Identifying the Differences Between VIX Spot and Futures
PRACTICE ESSENTIALS STRATEGY 201 U.S. Identifying the Differences Between VIX Spot and Futures CONTRIBUTOR Berlinda Liu [email protected] The S&P Dow Jones Indices Practice Essentials series is a
Investors and Central Bank s Uncertainty Embedded in Index Options On-Line Appendix
Investors and Central Bank s Uncertainty Embedded in Index Options On-Line Appendix Alexander David Haskayne School of Business, University of Calgary Pietro Veronesi University of Chicago Booth School
Time Series Analysis: Basic Forecasting.
Time Series Analysis: Basic Forecasting. As published in Benchmarks RSS Matters, April 2015 http://web3.unt.edu/benchmarks/issues/2015/04/rss-matters Jon Starkweather, PhD 1 Jon Starkweather, PhD [email protected]
The information content of lagged equity and bond yields
Economics Letters 68 (2000) 179 184 www.elsevier.com/ locate/ econbase The information content of lagged equity and bond yields Richard D.F. Harris *, Rene Sanchez-Valle School of Business and Economics,
Capital Markets Review
Capital Markets Review Second Quarter Capital Markets Review Consumer Data Consumer Delinquencies: down from previously reported US Personal Savings Rate: down from previously reported Consumer Credit:
Booth School of Business, University of Chicago Business 41202, Spring Quarter 2015, Mr. Ruey S. Tsay. Solutions to Midterm
Booth School of Business, University of Chicago Business 41202, Spring Quarter 2015, Mr. Ruey S. Tsay Solutions to Midterm Problem A: (30 pts) Answer briefly the following questions. Each question has
Options Based Portfolio Management Strategies
Options Based Portfolio Management Strategies An Idea Whose Time Has Arrived Thomas F. McKeon, CFA Principal and Chief Investment Offi cer Page 1 Introduction Options Based Portfolio Management Strategies
Buying Equity Call Options
Buying Equity Call Options Presented by The Options Industry Council 1-888-OPTIONS Equity Call Options Options involve risks and are not suitable for everyone. Prior to buying or selling options, an investor
Introduction To Stock Options: The Basics. Mark D. Wolfinger
Introduction To Stock Options: The Basics Mark D. Wolfinger 2008 1 Table of Contents Introduction Chapter 1. What is an Option? Chapter 2. How Does an Option Work? Chapter 3. Stock Options Chapter 4. Getting
Volatility: Implications for Value and Glamour Stocks
Volatility: Implications for Value and Glamour Stocks November 2011 Abstract 11988 El Camino Real Suite 500 P.O. Box 919048 San Diego, CA 92191-9048 858.755.0239 800.237.7119 Fax 858.755.0916 www.brandes.com/institute
REAL-TIME PRICE FORECAST WITH BIG DATA
REAL-TIME PRICE FORECAST WITH BIG DATA A STATE SPACE APPROACH Lang Tong (PI), Robert J. Thomas, Yuting Ji, and Jinsub Kim School of Electrical and Computer Engineering, Cornell University Jie Mei, Georgia
Integrated Resource Plan
Integrated Resource Plan March 19, 2004 PREPARED FOR KAUA I ISLAND UTILITY COOPERATIVE LCG Consulting 4962 El Camino Real, Suite 112 Los Altos, CA 94022 650-962-9670 1 IRP 1 ELECTRIC LOAD FORECASTING 1.1
FREQUENTLY ASKED QUESTIONS BY INSURANCE PROFESSIONALS WHO ARE CONSIDERING FLEX OPTIONS
FREQUENTLY ASKED QUESTIONS BY INSURANCE PROFESSIONALS WHO ARE CONSIDERING FLEX OPTIONS WHAT ARE FLEX OPTIONS? FLEX options are customizable options where users define their own terms. They differ from
36 South Breakfast. Profile of the U.S. Listed Equity Options Market. Zurich October 23, 2013
36 South Breakfast Profile of the U.S. Listed Equity Options Market Zurich October 23, 2013 The Options Industry Council (OIC) Gary Delany www.optionseducation.org Disclaimer Options involve risk and are
CHAPTER 15. Option Valuation
CHAPTER 15 Option Valuation Just what is an option worth? Actually, this is one of the more difficult questions in finance. Option valuation is an esoteric area of finance since it often involves complex
Directional Options Trading Strategy And Position Management
3 rd Annual CBOE Risk Management Conference Europe Directional Options Trading Strategy And Position Management Bill Looney CBOE Global Business Development Oleg Lugovkin Volatility PM Argentiere Capital
On the Predictability of Stock Market Behavior using StockTwits Sentiment and Posting Volume
On the Predictability of Stock Market Behavior using StockTwits Sentiment and Posting Volume Abstract. In this study, we explored data from StockTwits, a microblogging platform exclusively dedicated to
THE UNIVERSITY OF CHICAGO, Booth School of Business Business 41202, Spring Quarter 2014, Mr. Ruey S. Tsay. Solutions to Homework Assignment #2
THE UNIVERSITY OF CHICAGO, Booth School of Business Business 41202, Spring Quarter 2014, Mr. Ruey S. Tsay Solutions to Homework Assignment #2 Assignment: 1. Consumer Sentiment of the University of Michigan.
Implied correlation indices and volatility forecasting
Implied correlation indices and volatility forecasting Holger Fink a,1, Sabrina Geppert a,2 September 13, 2015 abstract Implied volatility indices are an important measure for 'market fear' and well-known
ITSM-R Reference Manual
ITSM-R Reference Manual George Weigt June 5, 2015 1 Contents 1 Introduction 3 1.1 Time series analysis in a nutshell............................... 3 1.2 White Noise Variance.....................................