Download or read book Capturing the Index Effect via Options written by Srikant Dash and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze a less-known but profound impact of additions to the Samp;P 500 - the impact on publicly traded options of the added company. Our analysis sheds new light into the enormous magnitude of index change related price movements in the options market, and provides insights on replicable trading strategies. In general, the changes in at-the-money call and put prices are 20 to 30 times higher than changes in the corresponding stock price. Comparison between the inter-index transfers and outside additions finds far greater index effect on options prices if the underlying stocks are introduced out of the Samp;P 1500 index family. Between announcement and effective dates, the median at-the-money call option rises 120% for additions from outside the Samp;P 1500, and 32% for promotions within the Samp;P index family. While it is not possible to capture most of these price changes because they happen very shortly after the announcement, our study highlights replicable trading strategies with statistically significant returns. Buying at-the-money calls for stocks added to Samp;P 500 from outside the Samp;P 1500 on the day after the announcement, and selling the position on the effective date of addition yields returns of 31% on average.

Download or read book Enhanced Indexing Strategies written by Tristan Yates and published by John Wiley & Sons. This book was released on 2008-12-03 with total page 304 pages. Available in PDF, EPUB and Kindle. Book excerpt: Leveraged index investments, including index futures, options, and ETFs, are one of the fastest growing products in finance, as both retail and institutional investors are attracted to their long-term returns and capital efficiency. With Enhanced Indexing Strategies, author Tristan Yates reveals how you can create and build high-performance indexing strategies using derivatives that can potentially generate much higher returns than conventional index investing. In addition, Enhanced Indexing Strategies introduces six innovative long-term indexing strategies using futures and options, each with its own advantages and applications.

Download or read book Indices Index Funds And ETFs written by Michael I. C. Nwogugu and published by Springer. This book was released on 2019-03-09 with total page 696 pages. Available in PDF, EPUB and Kindle. Book excerpt: Indices, index funds and ETFs are grossly inaccurate and inefficient and affect more than €120 trillion worth of securities, debts and commodities worldwide. This book analyzes the mathematical/statistical biases, misrepresentations, recursiveness, nonlinear risk and homomorphisms inherent in equity, debt, risk-adjusted, options-based, CDS and commodity indices – and by extension, associated index funds and ETFs. The book characterizes the “Popular-Index Ecosystems,” a phenomenon that provides artificial price-support for financial instruments, and can cause systemic risk, financial instability, earnings management and inflation. The book explains why indices and strategic alliances invalidate Third-Generation Prospect Theory (PT3), related approaches and most theories of Intertemporal Asset Pricing. This book introduces three new decision models, and some new types of indices that are more efficient than existing stock/bond indices. The book explains why the Mean-Variance framework, the Put-Call Parity theorem, ICAPM/CAPM, the Sharpe Ratio, Treynor Ratio, Jensen’s Alpha, the Information Ratio, and DEA-Based Performance Measures are wrong. Leveraged/inverse ETFs and synthetic ETFs are misleading and inaccurate and non-legislative methods that reduce index arbitrage and ETF arbitrage are introduced.

Download or read book The Impacts of Index Options on the Underlying Stocks written by Shinhua Liu and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Existing theories predict lower trading volume, but ambiguous changes in price, bid-ask spread, and volatility for the underlying stocks following the advent of index derivatives. We further test these predictions around the introduction of the Samp;P 100 options in March 1983. Controlling for known factors respectively, we find that the listing of the Samp;P 100 options results in lower volume, spread, and volatility, but no price change for the underlying stocks, contrasting with the existing U.S. evidence and supporting the notion that the arrival of index derivatives induces informed and speculative portfolio traders to migrate from the underlying market to the derivatives market.

Download or read book The Index Trading Course Workbook written by George A. Fontanills and published by John Wiley & Sons. This book was released on 2007-04-18 with total page 226 pages. Available in PDF, EPUB and Kindle. Book excerpt: An indispensable, hands-on companion to The Index Trading Course In The Index Trading Course, financial experts George Fontanills and Tom Gentile provide an in-depth look at the tools and techniques used to trade in this profitable market. Now, in The Index Trading Course Workbook, Fontanills and Gentile offer a wealth of practical exercises that will help further your understanding of index trading, as well as test and apply what you've learned before you take one step into the real markets-where time and money are luxuries you can't afford to lose. The media assignments found in each chapter are especially useful. They'll help you put the material you've read into action by prompting you to access some of the extensive media tools currently available to all traders-including financial papers, magazines, the Internet, and television. This hands-on companion to The Index Trading Course also includes a complete answer key for every multiple-choice question and covers a wide range of issues related to this discipline such as: Core stock market indexes along with the sector offerings from a variety of financial entities Actively traded index products, including exchange traded funds (ETFs), index options, and ETF options Options strategies used for different trends and volatility situations Indicators and systems Trade adjustments The art of risk management

Download or read book Enhanced Indexing Strategies written by Tristan Yates and published by John Wiley & Sons. This book was released on 2008-11-03 with total page 304 pages. Available in PDF, EPUB and Kindle. Book excerpt: Leveraged index investments, including index futures, options, and ETFs, are one of the fastest growing products in finance, as both retail and institutional investors are attracted to their long-term returns and capital efficiency. With Enhanced Indexing Strategies, author Tristan Yates reveals how you can create and build high-performance indexing strategies using derivatives that can potentially generate much higher returns than conventional index investing. In addition, Enhanced Indexing Strategies introduces six innovative long-term indexing strategies using futures and options, each with its own advantages and applications.

Download or read book The Effects of Leverage on the Pricing S P 500 Index Call Options written by Robert L. Geske and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this paper is to examine whether leverage has a significant statistical and economic effect on the pricing of Samp;P 500 index options. This is the first paper to directly test for leverage effects in stock index options. To analyze these effects we use the Geske (1979) compound option model. The Geske model is closed form, implies stochastic equity volatility, is consistent with Modigliani and Miller, incorporates debt refinancing, and includes possibly differential default and bankruptcy. Black-Scholes (1973) is a special case of the Geske model. In this paper we show that during the years 1996-2004 the aggregate market based debt to equity (D/E) ratio of the firms comprising the Samp;P 500 equity index varies from about 40-120 percent. We believe this is the first presentation of a market D/E ratio derived from option theory. Next and more importantly we are the first to report the details of the statistically significant economic effects that market leverage has on pricing Samp;P 500 index call options. We measure that the Geske model improves the net option valuation of listed in the money (or out of the money) Samp;P 500 index call options on average by about 35% (28%) compared to Black-Scholes values. We demonstrate that the improvement is directly (and monotonically) related to both the time to expiration of the option and the amount of leverage in this market index. For options with longer expirations and/or periods of higher market leverage the improvement is greater, ranging from about 40% to 80%. We also demonstrate economic significance in basis points by showing that dealers making a book in index options can expect benefits of at least several 100 basis points using Geske instead of Black-Scholes.

Download or read book Expiration Day Effects of Index Options and Futures written by Hans R. Stoll and published by . This book was released on 1987 with total page 104 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stock Index Options written by Scot G. Barenblat and published by Irwin Professional Publishing. This book was released on 1992 with total page 206 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Pricing S P 500 Index Options Using a Hilbert Space Basis written by Peter Albert Abken and published by . This book was released on 1996 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book A Study of the Effects on the Economy of Trading in Futures and Options written by and published by . This book was released on 1985 with total page 624 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Undercurrents of Options Trading written by Naresh Gopal and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Large amount of trading has let the market become volatile, leading to the emergence of volatility instruments in the market to safeguard the risk-averse investors against uncertainties arising out of volatility in asset prices. The basic idea of this paper is to see the effect of VIX, which is a volatility index based on the index option prices; the Index Option (Nifty Option Contracts), whose underlying is an index (Nifty) comprising of many stocks; and the underlying index Nifty, which captures the behavior of the overall equity market. The combined effect of these three indices on open interest, which tells the number of outstanding contracts that exist for a particular stock at the end of the trading day, is studied using Structural Equation Modeling (SEM). The study used NSE data for a period of three years from March 2009 to February 2012. The outcome of the study will aid in understanding the indicators of options market in a better way.

Download or read book Effects of a Subsidized Put Option Program and Forward Selling on Farmers Revenue Risks written by Diane R. Bertelsen and published by . This book was released on 1989 with total page 384 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book How to Capture Macro Financial Spillover Effects in Stress Tests written by Mr.Heiko Hesse and published by International Monetary Fund. This book was released on 2014-06-12 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: One of the challenges of financial stability analysis and bank stress testing is how to establish scenarios with meaningful macro-financial linkages, i.e., taking into account spillover effects and other forms of contagion. We come up with an approach to simulate the potential impact of spillover effects based on the “traditional” design of macro-economic stress tests. Specifically, we examine spillover effects observed during the financial crisis and simulate their impact on banks’ liquidity and capital positions. The outcome suggests that spillover effects have a highly non-linear impact on bank soundness, both in terms of liquidity and solvency.

Download or read book Photographer s Guide to the Nikon Coolpix P900 written by Alexander S. White and published by White Knight Press. This book was released on 2015-06-22 with total page 250 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book, by Alexander S. White, is a complete, clearly written guide to the operation of the Nikon Coolpix P900 digital camera. The book explains all shooting modes, menus, functions, and controls of this superzoom camera, accompanied by more than 350 full-color illustrations and sample photographs. The guide shows beginning and intermediate photographers how to use the camera’s many options to get the results they want. The book explains topics such as autofocus, manual focus, HDR (High Dynamic Range) photography, ISO, memory cards, and flash modes. It includes a discussion of techniques for using the P900’s phenomenal zoom lens, with a maximum optical focal length of 2000mm, to full advantage. The book also discusses the camera’s features for image transfer and remote control through the P900’s built-in Wi-Fi network, as well as its features for adding location data to images. The book includes sample images taken with the creative settings of the camera, including the Picture Control options, which alter the color processing of images; the Scene and Special Effects shooting modes, with settings optimized for subjects such as landscapes, birds, pets, sunsets, and action shots; and the camera’s features for burst shooting and time-lapse photography. In addition, the book provides introductions to topics such as infrared photography, street photography, and macro photography. The book also explains the video features of the P900, which can shoot HD video with stereo sound and can record high-speed video at rates up to 4 times normal speed. In addition, the book describes procedures for playing back images and videos in the camera and for using the Filter Effects option to add special effects to images after they have been captured. In three appendices, the book discusses accessories for the Coolpix P900, including cases, external flash units, and charging and power options. The appendices include a list of useful web sites and other resources, as well as a section with “quick tips” to help users take advantage of the camera’s features in the most efficient ways possible.

Download or read book The Effect of Index Option Initiation on Volatility in the Presence of Heterogenous Beliefs and Short Sale Constraint written by Amir Rubin and published by . This book was released on 2007 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: We evaluate the effect of index option initiation on a stock market in which short sales are prohibited. Our focus is the effect on the price volatility of the underlying asset. In a very simple dynamic model with successive generations of single-period investors, we show that volatility can either increase or decrease, depending on the variability of news about final payoffs. As an empirical illustration, we consider data from the Israeli stock market. The data show that volatility increased following the initiation of index options, consistent with the fact that short sales were prohibited in Israel when index options were introduced.

Download or read book Knowledge Options and Institutions written by Bruce Kogut and published by Oxford University Press, USA. This book was released on 2008-01-03 with total page 387 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bruce Kogut's writing has sketched a theory of human motivation that sees managers as social, often altruistic, sometimes as selfish, who care about their colleagues and their status among them. For the first time this book collects together key pieces that show how this view works in application to practical managerial issues, such as technology transfer and licensing, joint ventures as options, and the diffusion of ideas and best practices in the world economy. In an extensive introduction to these chapters, Kogut grounds this view in recent work in neurosciences and behavioural experiments in human sociality. On this basis, he provides a critique of leading schools of thought in management, including the resource based view of the firm cognition, and experimental economics. He proposes that people are hardwired to learn social norms and to develop identities that conform to social categories. This foundation supports a concept of coordination among people that is inscribed in social communities. It is this concept that leads to a theory of the firm as derived from social knowledge and shared identities. Kogut argues that the resource based view of the firm is only a view and it fails as a theory because it lacks a behavioural foundation. If it were to choose one, the choice would be between knowledge and organizational economics. Similarly, he argues that recent statements regarding cognition do not confront the age-old question of shared templates. If it did, it too would have to confront a theory of social knowledge. The author then proposes that this foundation is essential to an understanding of norms and institutions as well. Thus, we are moving into a period in which rapid advances in neuroscience increasingly lead to an integrated foundation for the social sciences. This opening chapter is the gateway to the collected essays, which assemble the author's published articles on knowledge, options, and institutions. The book ends on the most recent work on open source software and generating rules. The chapter on open source discusses how new technology is changing the face of innovation. The final article on generating rules is the segue to the author's current work that looks at how simple rules of social exchange leads to complex patterns of local and global knowledge.