Author: Jörg Stephan CyriaxPublisher:
ISBN:
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Languages : en
Pages :
Book Description
This thesis extends the findings on implied moments in equity markets to commodities and presents supporting evidence for demand-based option pricing and informed trading. Different implied moments measured by various metrics which are calculated based on a set of maturities and moneyness levels as well as their innovations are subject of the presented investigations. The sample comprises the 24 GSCI commodities in the period from January 2006 until June 2017. Several portfolio sorts and additional predictive fixed effects panel regressions confirm an economically and statistically significant negative predictive ability of innovations of relative implied skewness which increases with maturity and distance from at-the-money. This predictive ability is almost purely driven by the anticipation of lower returns, i.e. downside jump risk. A low-minus-high trading strategy based on innovations of implied skewness is constructed returning 11.90\% p.a. (after transaction costs of 0.033\% per trade and with 50\% collateralization) which cannot be explained by common commodity factors. The underlying predictive ability can be reasoned with better information of some market participants (informed trading) whose option demand causes the implied volatility smile to adjust accordingly. Eventually, concurrent and predictive effects of implied volatility and implied skewness for the commodity basis are found which may lay the foundation for extending the implied moments-related research to physical variables.
