VIXstochastic volatilitystate-dependent jumpsvolatility jumpsinternal consistencySubstantial progress has been made in developing more realistic option pricing models for S&P 500 index (SPX) options. Empirically, however, it is not known whedoi:10.2139/ssrn.1106621Lin, YuehNeng...
For example: SPY options have a larger demand than every other asset at this time. SPY has option terms that expireyearly,quarterly,monthly,&weeklyon Monday's, Wednesdays, & Fridays. Assets that are not in high demand may have monthly and quarterly options going out three to six months. ...
can be exercised, and are sensitive to both time and volatility. Futures options can be traded in the same types of spreads1that apply to equity options, allowing for strategies that can be bullish, bearish, range-bound, strongly moving, or time-based. ...
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The values of these variance swaps are then used to derive a 30-day (annualized) volatility. By construction, the VIX closely tracks the Black-Scholes implied volatility of at-the-money SPX options with expirations closest to 30 calendar days. 年份: 2017 ...
What are Delta-One Trading Desks? What does delta one refer to? Delta is the sensitivity of a derivative's theoretical value to its underlying. Options have deltas ranging from (0,1) for calls and (-1,0) for puts. This gives them non-linearity, i.e. a call becomes more valuable ...
Using the SPX and the OMX options data, we test whether implied volatility obtained from Black-Scholes option price explains the volatilities of excess returns better than gross returns, even though the result is not statistically significant. 展开 关键词:...
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VIX values are calculated using the CBOE-traded standard SPX options, which expire on the third Friday of each month, and the weekly SPX options, which expire on all other Fridays. Only SPX options are considered whose expiry period lies within more than 23 days and less than 37 days.2 ...