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The Information Content of The Implied Volatility Surface : Can Option Prices Predict Jumps?
Han, Yufeng - 2020
We ask whether option prices contain information on the likelihood and direction of jumps in the underlying stock prices. Applying the partial least squares (PLS) approach to the entire surface of the implied volatilities (IV), we show that option prices can successfully predict downward jumps...
Persistent link: https://www.econbiz.de/10012847745
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Market Imperfections and the Information Content of Implied and Realized Volatility
Wong, Woon K.; Tu, Anthony - 2008
The information content of option implied volatility and realized volatility under market imperfections are studied in … the context of GARCH modeling and volatility forecasts of Taiwan stock market (TAIEX) returns. Consistent with most … studies, we find that the Taiwan implied volatility index (TVIX) calculated from the TAIEX option prices contains most of the …
Persistent link: https://www.econbiz.de/10014220367
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The information content of ETF options
Lockwood, Jimmy; Lockwood, Larry Joseph; Miao, Hong; … - In: Global finance journal 53 (2022), pp. 1-17
Persistent link: https://www.econbiz.de/10013412674
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Market Expectations and Option Prices : Techniques and Applications
Mandler, Martin - 2003
represented by historical volatility measures, variances etc. In contrast, using option prices allows us to study uncertainty in …
Persistent link: https://www.econbiz.de/10013519008
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The information content of CDS implied volatility and associated trading strategies
Shi, Yukun; Chen, Ding; Guo, Biao; Xu, Yaofei; Yan, Cheng - In: International review of financial analysis 83 (2022), pp. 1-16
Persistent link: https://www.econbiz.de/10013460868
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Does the listing of optionsimprove forecasting power? : evidence from the Shanghai Stock Exchange
Guo, Biao; Wang, Zhen; Fan, Shuyu - In: Emerging markets, finance & trade : a journal of the … 58 (2022) 15, pp. 4300-4308
Persistent link: https://www.econbiz.de/10013463027
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The Information Content of the VIX Options Trading Volume
Gu, Chen; Guo, Xu; Kurov, Alexander; Stan, Raluca - 2021
This paper investigates the predictive content of the VIX options trading volume for the future dynamics of the underlying VIX index. Using a novel dataset from the Chicago Board Options Exchange, we calculate the put-call ratio based on the VIX option volume initiated by buyers to open new...
Persistent link: https://www.econbiz.de/10013310312
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Net buying pressure and the information in bitcoin option trades
Alexander, Carol; Deng, Jun; Feng, Jianfen; Wan, Huning - In: Journal of financial markets 63 (2023), pp. 1-18
Persistent link: https://www.econbiz.de/10014278620
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Understanding Foreign Exchange Option Returns : The Information Content of Volatility
Kermiche, Lamya - 2012
distance of their implied volatility from the historical volatility, we obtain portfolios with positive average monthly returns …
Persistent link: https://www.econbiz.de/10013110348
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The distribution of uncertainty : evidence from the VIX options market
Völkert, Clemens - In: The journal of futures markets 35 (2015) 7, pp. 597-624
Persistent link: https://www.econbiz.de/10011405459