The pricing formula applies when the option is sufficiently far out of the money (operationally, a relative exercise price or
moneyness of 0.
We restricted our analysis to closest to at-the-money options (defining them as those with a degree of
moneyness between 0.
Caption: FIGURE 1 Difference [theta] - [DELTA] for the European Put Option, With d = 0: Dependence on
Moneyness and Time to Expiry
Keywords: options, implied volatility, informed trading,
moneyness, volatility smirk.
Therefore, the
moneyness of the option will determine the relevance of earnings information for bond traders.
It cannot be used in the other direction, starting with the observed history of a commodity and passing judgment on its
moneyness.
The
moneyness of this call option changes in periods of market stress, making gold mining stocks act more like gold and less like a typical equity.
127) Doug Noland, "The Curse of
Moneyness," Credit Bubble Bulletin, Asia Times Online, February 20, 2015.
Using data from ExecuComp, we calculated the volume-weighted sum of the
moneyness of the individual CEOs' unexercised but exercisable options and their exercised options over 2 years as an indicator of overconfidence.
Al obtener las volatilidades implicitas de esta manera, en lugar de realizar el grafico de la sonrisa de la volatilidad (para mas detalles de la forma de la sonrisa de volatilidad vease Hull (2008) y las referencias alli contenidas) con respecto a K o al
moneyness (S/K), se propone realizar el grafico de funcion de volatilidad implicita con respecto a la relacion D/P (deuda a patrimonio), para lo cual se necesita una funcion o un modelo que permita calibrar las volatilidades ilicitas.
1463) in calculating the average
moneyness of the CEO's option portfolio for each year.
Entre algunos trabajos previos que analizan los modelos de componentes principales (PCA) sobre los smiles y skwes de volatilidad basados en cambios diarios de volatilidades implicitas por strike y/o
moneyness estan el Derman (1994) y Derman and Kamal (1997) donde analizan los indices S & P 500 y Nikkei 225 considerando cambios diarios en la superficie de volatilidad y especificados por la griega delta y el vencimiento.
