International transmission of uncertainty implicit in stock index option
Ait-Sahalia and Kimmel  conducted an empirical analysis using S&P 500 and its stock index option
data and obtained that estimated value of reversion rate k is 5.07, which means that, compared with American market, the mean reversion rate of Hong Kong market is slower, which indicates that when volatility in Hong Kong stock market deviates from mean value upwards or downwards, it will reverse to the mean level at a slow speed.
Tseng, Cheng, Wang and Peng  use a perceptron neural network to forecast the Taiwan stock index option
prices using the same inputs required for the Black-Scholes model.
The Chicago Board Options Exchange's Volatility Index (VIX) measures the implied volatility of the S&P500 stock index over the next 30 days, using the stock index option
"The OEX is the stock index option
most actively traded among individual investors," says Stanley Marszalk, vice president of CMI Business Services Inc.
This article examines the efficiency of the S&P 500 index options market using theoretical pricing relationships derived from stock index option
The VIX is computed from the S&P500 stock index option
prices, and higher numbers imply that investors expect more volatile movements in the S&P index in the near term.
In particular, no such study exists in the context of the Indian derivative market, which ranks second in the world in trading of stock index options
. Thus, this study undertakes following objectives to be investigated.
Stock market volatility and the information content of the stock index options
. Journal of Econometrics, 52, 267-287.
Beware of the witch This coming Friday will mark the last so-called 'quadruple witching' day of the year, when contracts for stock options, single stock futures, stock index options
and stock index futures all expire.
AIJ attracted its clients by saying that it would make a stable profit from investments in stock index options
and was popular among investors as an asset manager paying good dividends even during the financial turmoil following the collapse of Lehman Brothers Holdings Inc.
The CBOE Volatility index VIX, which measures expected volatility in the S&P 500 over the next 30 days, closed below 19 on Friday for the first time since July 22, as a stabilising market reduced investor desire to seek protection in stock index options
against future losses.