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 An Empirical Examination of the Impact of Options Trading on the Underlying Stocks written by Mohammad Golam Robbani and published by . This book was released on 1994 with total page 392 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Index Options and Informativeness of the Underlying Stocks Prices written by Shinhua Liu and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: There has been very limited evidence about the impact of index derivatives on the informativeness of the underlying stocks' prices, despite its empirical nature. We explore this issue in this study, employing the introduction of the S&P 100 options. We find that, net of the market, the underlying stocks' returns become significantly more random and, thus, less predictable with the advent of the index options. This result is robust to different statistical methods and different frequency of data. The robust finding suggests that the underlying stocks' prices tend to become more informative following the commencement of the index options.

Download or read book The Options Playbook written by Brian Overby and published by . This book was released on 2007 with total page 101 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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 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 The Impact of Index Options Trading on the Constituent Stocks in Hong Kong written by Louis T. W. Cheng and published by . This book was released on 1998 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Differences in Trading and Pricing Between Stock and Index Options written by Michael Lemmon and published by . This book was released on 2014 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: We find that the demand for stock options that increases exposure to the underlying is positively related to the individual investor sentiments and past market returns, whereas the demand for index options is invariant to these factors. These differences in trading patterns are also reflected in the differences in the composition of traders with different types of options -- options on stocks are actively traded by individual investors, whereas trades in index options are more often motivated by the hedging demand of sophisticated investors. Consistent with a demand-based view of option pricing, the individual investor sentiments and past market returns are related to time-series variations in the slope of the implied volatility smile of stock options, but have little impact on the prices of index options. The pricing impact is more pronounced in options with a higher concentration of unsophisticated investors and those with higher delta hedging costs. Our results provide evidence that factors not related to fundamentals also impact security prices.

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 The Effects of Investor Sentiment on Speculative Trading and Prices of Stock and Index Options written by Michael L. Lemmon and published by . This book was released on 2014 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: We find that the demand for stock option positions that increase exposure to the underlying is positively related to measures of investor sentiment and past market returns, while the demand for index options is invariant to these factors. These differences in trading patterns are reflected in differences in the composition of traders in the different types of options -- Options on stocks are actively traded by individual investors, while trades in index options are more often motivated by hedging demands of sophisticated investors. Consistent with a demand based view of option pricing, we find that sentiment is related to time-series variation in the slope of the implied volatility smile of stock options, but has little impact on the prices of index options. The pricing impact is more pronounced in options with a higher concentration of unsophisticated investors and in options with higher hedging costs. Our results provide new evidence factors not related to fundamentals affect price of securities actively traded by noise traders.

Download or read book The Index Option written by Neil Osborne and published by Batsford. This book was released on 1996 with total page 180 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Expiration Day Effect of Index Options and Index Futures on the Underlying Shares written by Karl Felixson and published by . This book was released on 2002 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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 The Complete Guide to Option Strategies written by Michael Mullaney and published by John Wiley & Sons. This book was released on 2009-04-29 with total page 576 pages. Available in PDF, EPUB and Kindle. Book excerpt: Important insights into effective option strategies In The Complete Guide to Option Strategies, top-performing commodity trading advisor Michael Mullaney explains how to successfully employ a variety of option strategies, from the most risky--selling naked puts and calls--to more conservative strategies using covered positions. The author covers everything from options on stocks, exchange-traded funds, stock indexes, and stock index futures to essential information on risk management, option "Greeks," and order placement. The book provides numerous tables and graphs to benefit beginning and experienced traders. Written by a CTA who has successfully employed various options strategies to generate market-beating returns, The Complete Guide to Option Strategies will be an important addition to any trader's library. Michael D. Mullaney (Jacksonville, FL) is a high-ranking commodity trading advisor who specializes in option selling strategies.

Download or read book Handbook of Insurance written by Georges Dionne and published by Springer Science & Business Media. This book was released on 2013-12-02 with total page 1133 pages. Available in PDF, EPUB and Kindle. Book excerpt: This new edition of the Handbook of Insurance reviews the last forty years of research developments in insurance and its related fields. A single reference source for professors, researchers, graduate students, regulators, consultants and practitioners, the book starts with the history and foundations of risk and insurance theory, followed by a review of prevention and precaution, asymmetric information, risk management, insurance pricing, new financial innovations, reinsurance, corporate governance, capital allocation, securitization, systemic risk, insurance regulation, the industrial organization of insurance markets and other insurance market applications. It ends with health insurance, longevity risk, long-term care insurance, life insurance financial products and social insurance. This second version of the Handbook contains 15 new chapters. Each of the 37 chapters has been written by leading authorities in risk and insurance research, all contributions have been peer reviewed, and each chapter can be read independently of the others.

Download or read book The Addition and Deletion Effects of the Standard Poor s 500 Index on Option Markets written by Libo Sui and published by . This book was released on 2004 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents the behavior of option markets of Samp;P 500 index changes for the first time. The same as the underlying stock markets, we found abnormal returns from AD+1 to CD except for put options of addition stocks. We found evidence supporting the liquidity hypothesis and information hypothesis of stock markets from option side. We derived the mean implied risk-neutral probability density function from a group of stocks for the first time. We found evidence of arbitrage activities and inside trading activities for the index changes. We found Samp;P would like to delete stocks which have left-shift implied RNDs and add stocks which have right-shift implied RNDs, which means the index changes are not information-free for the markets.

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: