Essays about: "put-call ratio"

Found 2 essays containing the words put-call ratio.

1. 1. Information Spillover from VIX Options to VIX Futures: the Information Content of Put-Call Ratio and Implied Volatility Skew

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Giorgio Magagnotti; [2016]
   Keywords : VIX futures; VIX options; put-call ratio; implied volatility skew;

   Abstract : This paper investigates the predictive power of the information content of VIX options with respect to VIX futures. Two sub-samples of variables are used in the analysis: put-call ratios of daily option volumes and spreads among implied volatilities across different moneyness levels, derived from VIX options prices. READ MORE

3. 2. Derivative market: efficient option pricing models and predictive informational content

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Martins Feldmanis; Juris Rumba; [2012]
   Keywords : Volatility surface; Implied volatility and its informational content; Put Call volume ratio; Model-Free implied volatility; Gram-Charlier Expansion;

   Abstract : In this study we have examined the informational content of OMXS30 index European style call and put Options which are traded on the OMX Swedish stock exchange by applying extensions of the BS model. Firstly, we use two models (Gram-Charlier expansion and Model-Free) to obtain robust implied higher order moment estimates. READ MORE