Download or read book The Implied Volatility of Australian Index Options written by Sean Dowling and published by . This book was released on 2008 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: We construct a new measure of Australian stock market volatility based on the implied volatility of Samp;P/ASX Index options. Dubbed the Australian Market Volatility Index (AVIX), it is constructed in a manner similar to the popular CBOE Market Volatility Index (VIX) in the United States. We examine the statistical properties of AVIX and the temporal relationship between AVIX changes and Samp;P/ASX 200 Index returns, and also investigate the presence of any seasonalities in AVIX before assessing AVIX as a predictor of future volatility. Consistent with VIX, we find that AVIX exhibits large negative first-order autocorrelation, and is also negatively correlated with lagged and contemporaneous Samp;P/ASX 200 Index returns. However, AVIX exhibits no asymmetry in its response to positive and negative return shocks. As a predictor of future volatility, AVIX performs poorly compared to historical volatility. Interestingly, when nonsynchronous trading is controlled for, we find that AVIX exhibits a much stronger relationship with future volatility.

Download or read book The Implied Volatility of Index Options written by Hassan Tanha and published by . This book was released on 2011 with total page 406 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis is a study of the implied volatility component of the Black and Scholes option-pricing model. A recurring finding in the thesis is that in-the-money and out-of ¬the-money options should not be regarded as being on a continuum, but rather as being inherently "different." Additionally, differences across these options are accounted for in relation to behavioural and consumption based models, which, in turn, provide an explanation for the volatility smile. These findings provide a recurring and underlying theme in the thesis. Specifically, the thesis combines seven studies that aim to provide a comprehensive study of the implied volatility of call options on the Australian ASX/SPI 200 index futures contracts (2001-2006). In the first study (chapter 3), I explore the shape of the implied volatility "smile" in terms of market micro-structure variables, market momentum and time to maturity. In the second study (chapter 4), I progress to examine the evolutionary dynamics of implied volatility. The predictive power of implied volatility in relation to the volatility of the underlying S&P/ASX 200 market index is examined in my third study (chapter 5). In my fourth and fifth studies (chapters 6 and 7), I relate implied volatility to macro-economic announcements (in relation to the state price density of the underlying asset in study 4, and in relation to the shape of the volatility smile in study 5). Study 6 (chapter 8) examines volatility asymmetry in the underlying S&P/ASX 200 market and the response of implied volatility. Finally, I examine the potential for artificial intelligent neural networks to improve on our ability to forecast the volatility smile pattern.

Download or read book The Information Content of Implied Volatility written by Bart Frijns and published by . This book was released on 2008 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we develop and evaluate the information content of an implied volatility index for the Australian stock market. Using price data on Samp;P/ASX 200 index options and SFE SPI 200 index futures options, we develop implied volatility indices with a time to maturity of three months and one month, respectively. When evaluating the information content of both implied volatility indices we find that the implied volatility index based on the Samp;P/ASX 200 index options with a three-month horizon is most informative in terms of explaining stock market returns and forecasting future volatility. For this implied volatility index we find a significant negative and asymmetric relationship between changes in implied volatility and Samp;P/ASX 200 returns, i.e., stock market prices decline more when implied volatility increases than they increase when implied volatility drops. When evaluating the forecasting power of implied volatility for future market volatility we find that the implied volatility index based on the Samp;P/ASX 200 index options contains important information both insample and out-of-sample. In-sample, the implied volatility index significantly improves the fit of a GJR-GARCH(1, 1) model. Out-of-sample, we find that the implied volatility index significantly outperforms the RiskMetrics and GJR-GARCH(1, 1) model, with its highest forecasting power at the one-month forecasting horizon.

Download or read book An Empirical Study of Implied Volatility in Australian Index Option Markets written by Qianqian Yang and published by . This book was released on 2006 with total page 115 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Macroeconomic Information and Implied Volatility written by Hassan Tanha and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: A key issue in understanding option pricing is the response of option implied volatility to macro-economic announcements. We use high frequency data on ASX SPI 200 Index Options to examine the response of option implied volatility, as well as higher moments of the underlying return distribution, to macroeconomic announcements. Additionally, we identify the response of the moments as a function of the moneyness of the options. Our findings suggest that in-the-money and out-of-the money options have different characteristics in their responses, leading to the conclusion that heterogeneity in investor beliefs and preferences affect option implied volatility through the state price density function.

Download or read book Implied Adjusted Voladility Functions written by Hanani Farhah binti Harun and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Art of Options Trading in Australia written by Christopher Tate and published by John Wiley & Sons. This book was released on 2011-09-26 with total page 167 pages. Available in PDF, EPUB and Kindle. Book excerpt: The exchange-traded options market is one of the most dynamic and innovative markets in Australia, and options themselves are among the most profitable tools available to traders. While traditional investors can only make a profit when the market is rising, traders in options can make money whether the market is moving up or down. The leverage they provide also allows traders to control a large amount of stock with a comparatively small amount of money. In The Art of Options Trading in Australia, experienced and highly successful options trader Christopher Tate shows you how to make the most of these valuable tools. Starting with the basics of defining options, Chris goes on to look at: How options are priced, and what factors influence this Reading option quotes and payoff diagrams How the passing of time and changes in volatility affect options The 'Greeks' and how to use them Using the internet to assist your options trading Spreads, straddles and strangles Warrants, and the different types available.

Download or read book Fundamentals of Futures and options markets written by John Hull and published by Pearson Higher Education AU. This book was released on 2013-09-12 with total page 577 pages. Available in PDF, EPUB and Kindle. Book excerpt: This first Australasian edition of Hull’s bestselling Fundamentals of Futures and Options Markets was adapted for the Australian market by a local team of respected academics. Important local content distinguishes the Australasian edition from the US edition, including the unique financial instruments commonly traded on the Australian securities and derivatives markets and their surrounding conventions. In addition, the inclusion of Australasian and international business examples makes this text the most relevant and useful resource available to Finance students today. Hull presents an accessible and student-friendly overview of the topic without the use of calculus and is ideal for those with a limited background in mathematics. Packed with numerical examples and accounts of real-life situations, this text effectively guides students through the material while helping them prepare for the working world. For undergraduate and post-graduate courses in derivatives, options and futures, financial engineering, financial mathematics, and risk management.

Download or read book Time Series Properties of Implied Volatilities of Australian Options on Share Price Index Futures written by Su Leng Wong and published by . This book was released on 1999 with total page 302 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Index Futures Options in Australia written by Alan Brace and published by . This book was released on 1988 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book A Volatility Index for the Australian Options Market written by Simon Leong and published by . This book was released on 1991 with total page 142 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Understanding the Implied Volatility Surface for Options on a Diversified Index written by David Heath and published by . This book was released on 2004 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book A Volatility Index for the Australian Options Market written by Simon Leong and published by . This book was released on 1993 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Model Based Versus Model Free Implied Volatility written by Ph.D. Biktimirov (CFA, Ernest N.) and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study compares the efficacy of Black-Scholes implied volatility (BSIV) with model-free implied volatility (MFIV) in providing volatility forecasts for 13 North American, European, and Asian stock market indexes: S&P 500 (United States), S&P/ASX 200 (Australia), S&P/TSX 60 (Canada), AEX (the Netherlands), EURO STOXX 50 (Eurozone) CAC 40 (France), DAX 30 (Germany), HSI (Hong Kong), NIFTY 50 (India), Nikkei 225 (Japan), KOSPI 200 (Korea), SMI (Switzerland), and FTSE 100 (United Kingdom). In-sample volatility forecasts show that both BSIV and MFIV significantly improve the fit of a GJR-GARCH(1,1) model. However, BSIV dominates MFIV for predicting future volatility. Out-of-sample one-month volatility forecasts also indicate that BSIV outperforms both MFIV and GJR-GARCH(1,1) volatility.

Download or read book Relationship Between Implied Volatility and Realised Volatility the Case of the German Stock Index Options Market written by Panagiotis Pastos and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Analysing Intraday Implied Volatility for Pricing Currency Options written by Thi Le and published by Springer Nature. This book was released on 2021-04-13 with total page 350 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book focuses on the impact of high-frequency data in forecasting market volatility and options price. New technologies have created opportunities to obtain better, faster, and more efficient datasets to explore financial market phenomena at the most acceptable data levels. It provides reliable intraday data supporting financial investment decisions across different assets classes and instruments consisting of commodities, derivatives, equities, fixed income and foreign exchange. This book emphasises four key areas, (1) estimating intraday implied volatility using ultra-high frequency (5-minutes frequency) currency options to capture traders' trading behaviour, (2) computing realised volatility based on 5-minute frequency currency price to obtain speculators' speculation attitude, (3) examining the ability of implied volatility to subsume market information through forecasting realised volatility and (4) evaluating the predictive power of implied volatility for pricing currency options. This is a must-read for academics and professionals who want to improve their skills and outcomes in trading options.

Download or read book The VIX Index and Volatility Based Global Indexes and Trading Instruments A Guide to Investment and Trading Features written by Matthew T. Moran and published by CFA Institute Research Foundation. This book was released on 2020-04-28 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: During the past two decades, the Cboe Volatility Index (VIX® Index), a key measure of investor sentiment and 30-day future volatility expectations, has generated much investor attention because of its unique and powerful features. The introduction of VIX futures in 2004, VIX options in 2006, and other volatility-related trading instruments provided traders and investors access to exchange-traded vehicles for taking long and short exposures to expected S&P 500 Index volatility for a particular time frame. Certain VIX-related tradable products may provide benefits when used as tools for tail-risk hedging, diversification, risk management, or alpha generation. Gauges of expected stock market volatility for various regions include the VIX Index (United States), AXVI Index (Australia), VHSI Index (Hong Kong), NVIX Index (India) and VSTOXX Index (Europe). All five of these volatility indexes had negative correlations with their related stock indexes price movements, and all five volatility indexes rose more than 50% in 2008. Although the five volatility indexes are not investable, investors can explore VIX-based benchmark indexes that show the performance of hypothetical investment strategies using VIX futures or options. Before investing in volatility-related products, investors should closely study the pricing, roll cost, and volatility features of the tradable products and read the applicable prospectuses and risk disclosure statements.