The Information Content of Intraday VIX and Its Expected Correlation on the S&P 500 PDF Download
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Author: Oren Tapiero
Publisher:
ISBN:
Category :
Languages : en
Pages : 26
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Book Description
The scope of this paper is two-fold. First, to study the significance of the VIX index at intraday (five minutes) time resolution. Second, to emphasize the expected (intraday) conditional correlation between the S&P 500 and VIX log-returns. A weighted likelihood ratio test Amisano and Giacomini (2007), performed on intraday S&P 500 log-returns, suggests that the VIX index bears significant linear, asymmetric and nonlinear predictive information for the one-step ahead S&P 500 log-returns forecast density. In addition, it provides significant evidence to nonlinear and asymmetric impact of the expected (intraday) conditional correlation between market and volatility indices.
Author: Oren Tapiero
Publisher:
ISBN:
Category :
Languages : en
Pages : 26
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Book Description
The scope of this paper is two-fold. First, to study the significance of the VIX index at intraday (five minutes) time resolution. Second, to emphasize the expected (intraday) conditional correlation between the S&P 500 and VIX log-returns. A weighted likelihood ratio test Amisano and Giacomini (2007), performed on intraday S&P 500 log-returns, suggests that the VIX index bears significant linear, asymmetric and nonlinear predictive information for the one-step ahead S&P 500 log-returns forecast density. In addition, it provides significant evidence to nonlinear and asymmetric impact of the expected (intraday) conditional correlation between market and volatility indices.
Author: Mucahit Kochan
Publisher:
ISBN:
Category : Arbitrage
Languages : en
Pages : 92
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Book Description
Informed traders trade options on underlying securities to lower transaction costs and increase financial leverage for price trend and variance strategies. Options markets play a significant role in price discovery by incorporating private information about future prices for an underlying security into option prices. I generate a new model-free volatility measure to calculate the "distance from arbitrage bounds" from minute-by-minute option series for the S&P 500 index and 30 individual underlying stocks. These iron butterfly arbitrage bounds (IBBs) use intraday call and put option prices from the Bloomberg database. Narrow and wide IBBs are expected to reveal the options market valuation of volatility by market participants. Data series is gathered by using successive one-minute intervals from the Bloomberg database. The data comprise the most recent bid and ask option prices and volumes. I collect S&P 500 index values and index options and use 30 underlying stock prices and option prices for the contracts that have the largest option trading volume during the sampling interval. These bid and ask prices reflect the information generated by intraday price pressures implied by S&P 500 index options or stock options. Consistent with the option micro-structure literature, I find that the IBB measure for actively traded stock options attains its highest level immediately after the open of the market, declines steadily throughout the first trading hour and remains relatively stable until market close. However, index IBBs behave differently. S&P 500 index option IBB attains its lowest level during the first hour of the trading day, then increases and remains relatively stable until market close. I present new evidence regarding the dynamic relation between stock returns and innovations in expected volatility by using the minute-by-minute change in implied volatility (IV) as a proxy. Unlike the relationship between individual stock returns and their respective changes in implied idiosyncratic volatility, I find that all the coefficients on the market volatility index (VIX) term are negative and significant. Therefore, the evidence supports the explanation that the negative relationship between stock returns and expected volatility innovations is primarily related to the systematic component of the expected volatility. I also test whether narrow and wide IBB values capture incremental information to explain the return-volatility relationship. Results indicate that neither narrow IBB nor wide IBB values provide additional information beyond that provided by VIX and IV. The results are robust to five-minute and ten-minute sampling frequencies.
Author: Russell Rhoads
Publisher: John Wiley & Sons
ISBN: 0470933089
Category : Business & Economics
Languages : en
Pages : 293
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Book Description
A guide to using the VIX to forecast and trade markets Known as the fear index, the VIX provides a snapshot of expectations about future stock market volatility and generally moves inversely to the overall stock market. Trading VIX Derivatives will show you how to use the Chicago Board Options Exchange's S&P 500 volatility index to gauge fear and greed in the market, use market volatility to your advantage, and hedge stock portfolios. Engaging and informative, this book skillfully explains the mechanics and strategies associated with trading VIX options, futures, exchange traded notes, and options on exchange traded notes. Many market participants look at the VIX to help understand market sentiment and predict turning points. With a slew of VIX index trading products now available, traders can use a variety of strategies to speculate outright on the direction of market volatility, but they can also utilize these products in conjunction with other instruments to create spread trades or hedge their overall risk. Reviews how to use the VIX to forecast market turning points, as well as reveals what it takes to implement trading strategies using VIX options, futures, and ETNs Accessible to active individual traders, but sufficiently sophisticated for professional traders Offers insights on how volatility-based strategies can be used to provide diversification and enhance returns Written by Russell Rhoads, a top instructor at the CBOE's Options Institute, this book reflects on the wide range of uses associated with the VIX and will interest anyone looking for profitable new forecasting and trading techniques.
Author: Florian Auinger
Publisher: Springer
ISBN: 3658089695
Category : Business & Economics
Languages : en
Pages : 102
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Book Description
Florian Auinger highlights the core weaknesses and sources of criticism regarding the VIX Index as an indicator for the future development of financial market volatility. Furthermore, it is proven that there is no statistically significant causal relationship between the VIX and the S&P 500. As a consequence, the forecastability is not given in both directions. Obviously, there must be at least one additional variable that has a strong influence on market volatility such as emotions which, according to financial market experts, are considered to play a more and more important role in investment decisions.
Author: Matthew T. Moran
Publisher: CFA Institute Research Foundation
ISBN: 1944960961
Category : Business & Economics
Languages : en
Pages : 49
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Book Description
During the past two decades, the Cboe Volatility Index (VIX® Index), a key measure of investor sentiment and 30-day future volatility expectations, has generated much investor attention because of its unique and powerful features. The introduction of VIX futures in 2004, VIX options in 2006, and other volatility-related trading instruments provided traders and investors access to exchange-traded vehicles for taking long and short exposures to expected S&P 500 Index volatility for a particular time frame. Certain VIX-related tradable products may provide benefits when used as tools for tail-risk hedging, diversification, risk management, or alpha generation. Gauges of expected stock market volatility for various regions include the VIX Index (United States), AXVI Index (Australia), VHSI Index (Hong Kong), NVIX Index (India) and VSTOXX Index (Europe). All five of these volatility indexes had negative correlations with their related stock indexes price movements, and all five volatility indexes rose more than 50% in 2008. Although the five volatility indexes are not investable, investors can explore VIX-based benchmark indexes that show the performance of hypothetical investment strategies using VIX futures or options. Before investing in volatility-related products, investors should closely study the pricing, roll cost, and volatility features of the tradable products and read the applicable prospectuses and risk disclosure statements.
Author: Colin Bennett
Publisher:
ISBN: 9781461108757
Category :
Languages : en
Pages : 316
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Book Description
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
Author: Thi Le
Publisher: Springer Nature
ISBN: 3030712427
Category : Business & Economics
Languages : en
Pages : 350
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Book Description
This book focuses on the impact of high-frequency data in forecasting market volatility and options price. New technologies have created opportunities to obtain better, faster, and more efficient datasets to explore financial market phenomena at the most acceptable data levels. It provides reliable intraday data supporting financial investment decisions across different assets classes and instruments consisting of commodities, derivatives, equities, fixed income and foreign exchange. This book emphasises four key areas, (1) estimating intraday implied volatility using ultra-high frequency (5-minutes frequency) currency options to capture traders' trading behaviour, (2) computing realised volatility based on 5-minute frequency currency price to obtain speculators' speculation attitude, (3) examining the ability of implied volatility to subsume market information through forecasting realised volatility and (4) evaluating the predictive power of implied volatility for pricing currency options. This is a must-read for academics and professionals who want to improve their skills and outcomes in trading options.
Author: Dexiang Mei
Publisher: Scientific Research Publishing, Inc. USA
ISBN: 164997048X
Category : Business & Economics
Languages : en
Pages : 139
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Book Description
The volatility has been one of the cores of the financial theory research, in addition to the stock markets and the futures market are an important part of modern financial markets. Forecast volatility of the stock market and oil futures market is an important part of the theory of financial markets research.
Author: Gary Smith
Publisher: John Wiley & Sons
ISBN: 9780471355144
Category : Business & Economics
Languages : en
Pages : 280
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Book Description
Viele Händler und aktive Anleger träumen davon, das Handeln professionell zu betreiben. Analysten, Fondsmanager und andere Experten haben zwar eine Fülle an Literatur über Handelsstrategien verfaßt, aber zum Thema 'Erfolgreich Handeln von zu Hause' gab es bislang keine Informationen. Bis jetzt! Hier ist das erste Buch, das sich mit diesem Thema eingehend beschäftigt. Autor Gary Smith handelt seit über 15 Jahren erfolgreich von zu Hause aus. Er ist ein berühmtes und angesehenes Mitglied der Händlergemeinschaft und erklärt, was es heißt, von zu Hause aus zu agieren - mit der nötigen Courage und Hardware. Smith erläutert seine gewinnbringenden Handelsstrategien, die er für Aktien, Optionen und Anleihen einsetzt und demonstriert, wie er diese bei Aktien-Index-Futures und offenen Investmentfonds anwendet. Seine Strategie ist einfach, ohne komplexe technische Indikatoren, ohne verwirrende Charts, ohne große Softwareausstattung und mit geringem Risiko. Ein realistischer Leitfaden für jeden, der professionell einsteigen will. (12/99)
Author: Antonio Mele
Publisher: Springer
ISBN: 3319265237
Category : Mathematics
Languages : en
Pages : 259
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Book Description
Fixed income volatility and equity volatility evolve heterogeneously over time, co-moving disproportionately during periods of global imbalances and each reacting to events of different nature. While the methodology for options-based "model-free" pricing of equity volatility has been known for some time, little is known about analogous methodologies for pricing various fixed income volatilities. This book fills this gap and provides a unified evaluation framework of fixed income volatility while dealing with disparate markets such as interest-rate swaps, government bonds, time-deposits and credit. It develops model-free, forward looking indexes of fixed-income volatility that match different quoting conventions across various markets, and uncovers subtle yet important pitfalls arising from naïve superimpositions of the standard equity volatility methodology when pricing various fixed income volatilities.
