Relative Implied Volatility Arbitrage With Index Options
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Relative Implied Volatility Arbitrage With Index Options
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Author : Manuel Ammann
language : en
Publisher:
Release Date : 2016
Relative Implied Volatility Arbitrage With Index Options written by Manuel Ammann and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
We investigate statistical arbitrage strategies for index options. To test the efficiency of markets in pricing relative implied volatilities in highly correlated markets, U.S. stock indices for which listed options are available are matched into pairs according to their degree of correlation. The interrelationship over time of the three most highly correlated and liquid index pairs is then analyzed. Based on this analysis, the relative implied volatility relationships are calculated. If such a relationship is violated, a relative mispricing is identified. We find that, although many theoretical mispricings can be observed, only a fraction of them are large enough to be used profitably in the presence of bid-ask spreads and transaction costs. A simple no-arbitrage barrier is thus used to identify significant mispricings and a statistical arbitrage trade is implemented every time such a mispricing was recorded, the trades being on average profitable after deduction of transaction costs.
Relative Implied Volatility Arbitrage With Index Options
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Author : Manuel Ammann
language : en
Publisher:
Release Date : 2001
Relative Implied Volatility Arbitrage With Index Options written by Manuel Ammann and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with categories.
Relative Implied Volatility Arbitrage And The Joint Efficiency Of Index Options Markets
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Author : Boris Veselinovich
language : en
Publisher:
Release Date : 2008
Relative Implied Volatility Arbitrage And The Joint Efficiency Of Index Options Markets written by Boris Veselinovich and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
It is the intention of this paper to examine the joint-efficiency of equity index options markets by testing for potential profit opportunities generated from high-frequency trading of the implied volatility spread between equity markets whose volatilities are highly correlated. Our enquiry is motivated by the results of a substantial body of literature which demonstrates the strong degree of volatility linkages across global asset markets.Using the FTSE and DAX equity option index markets, we find evidence of abnormal returns, after transaction costs, and are then able to trace the source of these returns to explanatory factors which include contemporaneous trading volume and lagged returns. Our results suggest that the two options markets are not jointly efficient. Implications for multivariate risk estimation and volatility spillover modeling are also reported.
Statistical Arbitrage Of Stock Index Options
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Author : Christopher A. Kellner
language : en
Publisher:
Release Date : 2023
Statistical Arbitrage Of Stock Index Options written by Christopher A. Kellner and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023 with Economics categories.
This study supports the ongoing development of the Adaptive Market Hypothesis (AMH), a competing market theory with the currently dominant Efficient Market Hypothesis (EMH). The results of this study showed that it is not possible to achieve abnormal excess returns by employing a statistical arbitrage strategy based on volatility events in the SPX option market between 2004 and 2022. Volatility events were defined as an observed spike in implied volatility. The evidence in sample suggests there is no statistically significant difference in returns whether volatility events trigger the naked short straddle trade or not. However, the strategy did produce different results in different market environments as the AMH would predict. The volatility event strategy performed better in stabilizing periods relative to transition periods.
Non Linear Index Arbitrage
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Author : M. R. Roelfsema
language : en
Publisher:
Release Date : 2000
Non Linear Index Arbitrage written by M. R. Roelfsema and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Arbitrage categories.
Volatility Arbitrage Indices A Primer
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Author : Keith Loggie
language : en
Publisher:
Release Date : 2009
Volatility Arbitrage Indices A Primer written by Keith Loggie and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.
Volatility arbitrage is morphing from a niche institutional strategy to mass market, index-linked products. Volatility arbitrage strategies attempt to take advantage of the difference between the implied volatility of an asset and its realized volatility. Variance swaps are ideally suited to capturing the difference between implied and realized volatility. Volatility arbitrage indices, such as the Samp;P 500 Volatility Arbitrage Index, measure the performance of a tradable short variance swap strategy that is long implied volatility and short realized volatility. Since 1990, the Samp;P 500 Volatility Arbitrage Index has outperformed the Samp;P 500 at an annualized rate of more than three percentage points while having one-third of benchmark volatility. It has never had a twelve-month negative return period.
Option Volatility Pricing Advanced Trading Strategies And Techniques
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Author : Sheldon Natenberg
language : en
Publisher: McGraw Hill Professional
Release Date : 1994-08
Option Volatility Pricing Advanced Trading Strategies And Techniques written by Sheldon Natenberg and has been published by McGraw Hill Professional this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994-08 with Business & Economics categories.
Provides a thorough discussion of volatility, the most important aspect of options trading. Shows how to identify mispriced options and to construct volatility and "delta neutral" spreads.
Trading Volatility
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Author : Colin Bennett
language : en
Publisher:
Release Date : 2014-08-17
Trading Volatility written by Colin Bennett and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-08-17 with categories.
This publication aims to fill the void between books providing an introduction to derivatives, and advanced books whose target audience are members of quantitative modelling community. In order to appeal to the widest audience, this publication tries to assume the least amount of prior knowledge. The content quickly moves onto more advanced subjects in order to concentrate on more practical and advanced topics. "A master piece to learn in a nutshell all the essentials about volatility with a practical and lively approach. A must read!" Carole Bernard, Equity Derivatives Specialist at Bloomberg "This book could be seen as the 'volatility bible'!" Markus-Alexander Flesch, Head of Sales & Marketing at Eurex "I highly recommend this book both for those new to the equity derivatives business, and for more advanced readers. The balance between theory and practice is struck At-The-Money" Paul Stephens, Head of Institutional Marketing at CBOE "One of the best resources out there for the volatility community" Paul Britton, CEO and Founder of Capstone Investment Advisors "Colin has managed to convey often complex derivative and volatility concepts with an admirable simplicity, a welcome change from the all-too-dense tomes one usually finds on the subject" Edmund Shing PhD, former Proprietary Trader at BNP Paribas "In a crowded space, Colin has supplied a useful and concise guide" Gary Delany, Director Europe at the Options Industry Council
The Second Leg Down
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Author : Hari P. Krishnan
language : en
Publisher: John Wiley & Sons
Release Date : 2017-02-15
The Second Leg Down written by Hari P. Krishnan and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-02-15 with Business & Economics categories.
Cut risk and generate profit even after the market drops The Second Leg Down offers practical approaches to profiting after a market event. Written by a specialist in global macro, volatility and hedging overlay strategies, this book provides in-depth insight into surviving in a volatile environment. Historical back tests and scenario diagrams illustrate a variety of strategies for offsetting portfolio risks with after-the-fact options hedging, and the discussion explores how a mixture of trend following and contrarian futures strategies can be beneficial. Without a rational analysis-based approach, investors often find themselves having to cut risk and buy protection just as options are at their most over-priced. This book provides practical strategies, expert analysis and the knowledge base to assist you in recovering your portfolio. Hedging strategies are often presented as expensive and unnecessary, especially during a bull market. When equity indices and other unstable assets drop, they find themselves stuck – hedging is now at its most expensive, but it is imperative to hedge or face liquidation. This book shows you how to salvage the situation, with strategies backed by expert analysis. Identify the right hedges during high volatility Generate attractive risk-adjusted returns Learn new strategies for offsetting risk Know your options for when losses have already occurred Imagine this scenario: you've incurred significant losses, you're approaching risk limits, you must cut risk immediately, yet slashing positions would damage the portfolio – what do you do? The Second Leg Down is your emergency hotline, with practical strategies for dire conditions.
Pricing Derivatives
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Author : Ambar Sengupta
language : en
Publisher:
Release Date : 2005
Pricing Derivatives written by Ambar Sengupta and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Business & Economics categories.
Irwin Library of Investment and Finance Pricing Derivatives provides investors with a clear understanding of derivative pricing models by first focusing on the underlying mathematics and financial concepts upon which the models were originally built. Trading consultant Professor Ambar Sengupta uses short, to-the-point chapters to examine the relation between price and probability as well as pricing structures of all major derivative instruments. Other topics covered include foundations of stochastic models of pricing, along with methods for establishing optimal prices in terms of the max-min principles that underlie game theory.