Financial & investment strategies to captivate S&P 500 volatility premium
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DOIhttp://dx.doi.org/10.21511/imfi.14(3).2017.04
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Article InfoVolume 14 2017, Issue #3, pp. 39-53
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So as to enhance the risk of balanced execution of their portfolios, speculators look to broaden by including new resources, new sorts of monetary instruments or even new resource classes. Like wares, volatility rose as an unmistakable resource class and included the speculation portfolios particularly by multifaceted investments.
This paper examines the volatility premium of S&P 500 record choices and contrasts with different venture methodologies in view of offering alternative structures, for example, straddles and strangles utilizing diverse measures or risk and return. The outcomes demonstrate that the speculation procedures used to catch the instability premium through offering choices structures give higher exhibitions contrasted with the S&P 500 benchmark index.
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JEL Classification (Paper profile tab)G11, G31, G32
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References35
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Tables3
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Figures7
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- Figure 1. Evolution of S& P 500 index and implied volatility VIX
- Figure 2. Evolution of implied volatility VIX and one month realized volatility
- Figure 3. Evolution of 1 month volatility premium
- Figure 4. Evolution of absolute and relative volatility
- Figure 5. Evolution in the value of the investments based on 6M options
- Figure 6. Implied volatility (VIX) scenario for all coefficients
- Figure 7. Implied volatility (VIX) as a part of the initial scenario for all volatility coefficients.
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- Table 1. Descriptive statistics of stock returns
- Table 2. Measures of risk and return (6M option)
- Table 3. Results of sensitivity analysis run for the 6M options based strategies
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