Download or read book Spider Options and the S P 500 Index Options Market written by Gunther Capelle-Blancard and published by . This book was released on 2011 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using daily closing options data for the January 01, 2004 to June 30, 2005 period, we examine if the listing of Spider options on January 10, 2005 had any major impact on the quoted bid-ask spread, volume and implied volatility pattern of the Samp;P 500 Index options. Based on regression-based measures proposed in this paper, we find the call spread and volume to shrink, and the put spread and volume to rise, leading to a minor net volume decline in total. Consequently, index put transaction cost rises for the investors and the market makers enjoy a boost in revenue while the CBOE's fee revenue perhaps suffers a little. Considering spread and volume effects, the liquidity implication is uncertain. Pricing of the Samp;P 500 Index options is not affected as the implied volatility pattern remains largely in tact.
Download or read book Trading and Hedging with S P 500 Options written by Chicago Mercantile Exchange and published by . This book was released on 1985 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Options on Futures written by John F. Summa and published by John Wiley & Sons. This book was released on 2002-01-04 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt: Increased marketplace volatility and the expanding size of capital markets have led to an explosion of interest in options on futures. What makes these instruments so attractive is that they allow traders to profit from movements in the markets using little up-front capital and plenty of leverage. At the same time, they provide an excellent hedge against the risks associated with capital market investments. This book demystifies these notoriously difficult-to-understand instruments and provides state-of-the-art strategies and tools for making the most of options on futures. John F. Summa (New Haven, CT) is a CTA and cofounder of OptionsNerd.com, an online service providing market commentary, trading advisories, and assistance with trading system development. Jonathan Lubow (Randolph, NJ) is cofounder and Vice President of Trader's Edge, a futures and options brokerage.
Download or read book Option Income Strategy written by TradeSign Algo and published by . This book was released on 2019-08-16 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: Clear and precise mechanical techniques on how to structure option spreads while riding on the bullish biases of the equity markets in the long term. The reference index in particular CBOE SPX. No fanciful option risk modeling software required, because the model is based on directional trading system returns. Option Income takes advantage of time decay as an additional advantage to directional bias. You will know when to enter and how much risk and reward in each trade setup. This is unlike other option book, the principle is condensed into a simple and quick read within 1 hour of your time.
Download or read book S P 500 written by and published by . This book was released on 1988 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Information Content of Options Prior to Changes to the S P 500 Index written by Yoni Navon and published by . This book was released on 2014 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the information content of options prior to the S&P 500 Index inclusion and exclusion announcements. These announcements are unique events since they are not announced by the firm and, as stated by S&P, they should convey no new information. In addition, the large abnormal returns observed following these announcements make them distinctive ground for testing the informational role of options. Consistent with the notion that informed traders operate in the options market, the empirical results in this essay indicate that there is a significant relationship between options trading preceding index inclusion announcements and abnormal returns following these announcements. In contrast, I find no evidence for a relationship between options trading and abnormal returns following exclusion announcements.
Download or read book Was There Abnormal Trading in the S P 500 Index Options Prior to the September 11 Attacks written by Wing-Keung Wong and published by . This book was released on 2016 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: After the September 11 attacks, several major newswires reported that there were insiders who tried to profiteer from the options market in anticipation of the event. We use the Student's t-statistics and several non-parametric statistics to test whether there was abnormal trading in S&P 500 (SPX) index options prior to the September 11 attacks. Our findings from the out-of-the-money (OTM), at-the-money (ATM) and in-the-money (ITM) SPX index put options and ITM SPX index call options lead us to reject the null hypothesis that there was no abnormal trading in these contracts prior to the September 11 attacks. We also find evidence consistent with three bearish speculation strategies, namely the Put Purchase strategy, the Put Bear Spread strategy, and the Naked ITM Call Write strategy. In addition, we conclude that there is evidence of abnormal trading in the September 2001 OTM, ATM and ITM SPX index put options immediately after the 9-11 attacks.
Download or read book How I Trade Options written by Jon Najarian and published by John Wiley & Sons. This book was released on 2002-02-28 with total page 240 pages. Available in PDF, EPUB and Kindle. Book excerpt: Wiley Online Trading For A Living Beat Risk and Reap Rewards Like A Pro! The Compelling True Story of How a Top Market Maker Built a Successful Trading Business Praise for How I Trade Options "To much of the outside world, trading appears to be as incomprehensible as rocket science. What Jon Najarian has done in this engaging and very readable book is to 'demystify' the world of options for both the aspiring trader and the retail investor. How I Trade Options is a rare opportunity to look over the shoulder of this experienced options trader, teacher, and lecturer." -Lewis J. Borsellino, CEO/Founder, www.TeachTrade.Com; Author, The Day Trader: From the Pit to the PC "How I Trade Options gives retail investors who have little or no prior knowledge the insight into how options work and how to use them effectively and responsibly. For those who want to learn about options, this is a rare opportunity to learn from a master trader. Najarian shows commitment to educating investors on the use of options to enhance their portfolios." -Rance Masheck, President, Quantum Vision Inc. "Not only is Jon Najarian a Supertrader, he is a Superteacher. I owe much of my good fortune to Jon Najarian. I learned more from him than I had learned in an entire decade-plus it was fun! Jon's abilities to make his profitable trading strategies understandable are sure to make How I Trade Options a must-have tool that every option trader will want to own." -Don Fishback, Developer of the Fishback Option Pricing Model "Jon Najarian is a world-class options trader and a world class options educator. His crystal clear explanations of such strategies as vertical spreads empower the average investor to participate in attractive options approaches that, until now, have been dominated by professional traders." -Bernie Schaeffer, Chairman and Chief Executive Officer Schaeffer's Investment Research, Inc. Please visit our Web site at www.wileyfinance.com
Download or read book Options and the Volatility Risk Premium written by Jared Woodard and published by Pearson Education. This book was released on 2011-02-17 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: Master the new edge in options trades: the hidden volatility risk premium that exists in options for every major asset class. One of the most exciting areas of recent financial research has been the study of how the volatility implied by option prices relates to the volatility exhibited by their underlying assets. Here, I’ll explain the concept of the volatility risk premium, present evidence for its presence in options on every major asset class, and show how to estimate, predict, and trade on it....
Download or read book Mispricing of SetP 500 Index Options written by and published by . This book was released on 2008 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stock Index Futures Options written by Susan Abbott Gidel and published by Wiley. This book was released on 1999-11-02 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for Stock Index Futures & Options "Everything you wanted to know about global stock indexes in one place." -Tom Basso CEO, Trendstat Capital Management "With twenty years of professional experience behind her, Susan Abbott Gidel is the perfect person to present this intricate overview of today's futures and options markets. Included is everything a beginner needs to know to understand the world of derivatives." -Robert R. Prechter Jr. President, Elliott Wave International
Download or read book A test of efficiency for the S P 500 index option market using variance forecasts written by Jaesun Noh and published by . This book was released on 1993 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Pricing Efficiency in the Long term Index Options Market written by Anuradha Kandikuppa and published by . This book was released on 1999 with total page 250 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Information Content of Right Option Tails written by Greg Orosi and published by . This book was released on 2019 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this study, we investigate how useful the information content of out-of-the-money S&P 500 index call options is to predict the size and direction of the underlying index for the period 2004-2013. First, we demonstrate that behavior of the right tail of the option implied risk-neutral distribution can be characterized by a single parameter. Subsequently, we find that weekly changes in the tail parameter can be used to devise trading strategies that significantly outperform the underlying index on a risk adjusted basis. Moreover, we demonstrate that even during a period when the strategies do not outperform the index, our approach can be used to obtain information about future index returns. NOTE: This is a preprint. The published version contains significantly more details about the performance of the trading strategies, and it is shown that tail parameter contains forward looking information about the direction of the underlying index. In addition, some minor mistakes have been fixed.
Download or read book Jumps in Option Prices and Their Determinants written by George Kapetanios and published by . This book was released on 2019 with total page 65 pages. Available in PDF, EPUB and Kindle. Book excerpt: We provide first-time evidence of 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 underlying futures price. 14% to 28% of detected option price jumps occur around scheduled news releases. However, it is illiquidity rather than the news content that drives jumps. Evidence suggests that option traders increase bid-ask spreads to account for trading against investors who are skilled processors of public releases. Interestingly, illiquidity does not drive jumps in the highly liquid S&P 500 index options market, where we also find sizable and idiosyncratic price jumps.
Download or read book Understanding LEAPS Using the Most Effective Options Strategies for Maximum Advantage written by Marc Allaire and published by McGraw Hill Professional. This book was released on 2002-11-18 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt: Understanding LEAPS takes a practical, technique-oriented approach to one of today's most fascinating yet little-covered trading vehiclesLong-term Equity AnticiPation Securities. The only comprehensive and up-to-date guidebook for understanding what LEAPS are and how best to use them in a diversified portfolio, this valuable resource explains complex strategies such as collars and covered writing, and includes an entire section on index LEAPSthe hybrid product that has become a favorite of both independent and institutional investors.
Download or read book Financial Derivatives written by Rob Quail and published by John Wiley & Sons. This book was released on 2003-03-20 with total page 337 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Financial Derivatives" - Jetzt neu in der 3. komplett überarbeiteten Auflage! Dieses umfassende Nachschlagewerk bietet eine gründliche Einführung in das Thema Finanzderivate und ihre Bedeutung für das Risikomanagement im Unternehmensumfeld. Es vermittelt fundierte Kenntnisse zum Thema Finanzderivate, und zwar mit einem verständlich gehaltenen Minimum an Finanzmathematik, was Preisbildung und Bewertung angeht. Mit einer breitgefächerten Übersicht über die verschiedenen Arten von Finanzderivaten. Mit neuem Material zu Kreditderivaten und zur Kreditrisikobewertung bei Derivaten. Mit neuen und ausführlicheren Informationen zu den Themen Finanztechnik und strukturierte Finanzprodukte. "Financial Derivatives" - Ein unverzichtbarer Ratgeber für alle Finanzexperten im Bereich Risikomanagement.
