Showing 1 - 10 of 11,832
We study the real-time characteristics and drivers of jumps in option prices. To this end, we employ high frequency data from the 24-hour E-mini S&P 500 options market. We find that option prices do not jump simultaneously across strikes and maturities and are uncorrelated with jumps in the...
Persistent link: https://www.econbiz.de/10010472845
This study presents a model for estimating the asymmetry of the futures price with respect to the futures bid-ask spread. Using data from the Swedish OMXS 30 index futures market, estimation results show clear evidence of futures price asymmetry, where the futures price in general tends to be...
Persistent link: https://www.econbiz.de/10013156977
We provide an easy-to-use model that values derivatives for a privately informed agent. We introduce private forward prices that conveniently format private information for inclusion in a standard no-arbitrage framework. This framework yields simple expressions for the privately-informed value...
Persistent link: https://www.econbiz.de/10012852503
This paper introduces a new model-free approach to measuring the expectation of market variance using VIX derivatives. This approach shows that VIX derivatives carry different information about future variance than S&P 500 (SPX) options, especially during the 2008 financial crisis. I find that...
Persistent link: https://www.econbiz.de/10012182042
We find that single-name options trading increases the absolute level of information content of prices (stock price informativeness). We confirm our results through instrumental variable approach to control for potential endogeneity. We further show causality by using a difference-in-difference...
Persistent link: https://www.econbiz.de/10012179434
This paper investigates the information asymmetry effect on bid-ask spreads of dollar-euro currency options traded in over-the-counter market. We use a composite indicator of systemic stress (CISS) as a proxy for the information asymmetry effect and find that the impact of CISS on bid-ask spread...
Persistent link: https://www.econbiz.de/10012933109
The ad hoc Black-Scholes (AHBS) model is one of the most widely used option valuation models among practitioners models. The main contribution of this study is methodological. We have two main results: (1) we make the empirical observation that typically the call and put sneers are discontinuous...
Persistent link: https://www.econbiz.de/10013097543
Persistent link: https://www.econbiz.de/10011878622
Persistent link: https://www.econbiz.de/10012317888
Using a unique proprietary data set of trades by all large traders in the crude oil, gasoline, and heating oil futures markets, we explore determinants of their individual trading profits/losses. Consistent with the risk premium hypothesis, hedgers' mean trading profits are significantly...
Persistent link: https://www.econbiz.de/10013095207