stock index option

Stock index option

An option in which the underlying is a common stock index.

Stock Index Option

A call or put option contract in which the underlying asset is a stock index. For example, in a call, an investor may buy the right to an index on or before the expiration date at a certain strike price. Obviously, one cannot buy or sell a physical index; so, the underlying asset is said to be the dollar value of an index at a certain date and time multiplied by $100. Because physical delivery is not possible, when a stock index option is exercised, the delivery is the cash value of the strike price. See also: Exchange-traded fund, Index fund.

stock index option

A contract that gives its owner the right to buy (call option) or sell (put option) a stock index at a fixed value until a specified date. Options are traded on the S&P 500, the S&P 100, the NYSE Composite Index, and the Major Market Index, along with specialized indexes. These options work exactly like regular stock options except that an index rather than a particular stock is the underlying asset. As with stock index futures, delivery must be in cash because it is not possible to deliver an index. See also Section 1256 contracts.

Wall Street Words: An A to Z Guide to Investment Terms for Today's Investor by David L. Scott. Copyright © 2003 by Houghton Mifflin Company. Published by Houghton Mifflin Company. All rights reserved. All rights reserved.

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References in periodicals archive ?

International transmission of uncertainty implicit in stock index option prices.

Regime switching behavior of Indian VIX and its time dependent correlation with select developed economies

Ait-Sahalia and Kimmel [17] 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.

Improved Maximum Likelihood Estimation of Heston Model and Pricing Efficiency Test: Hong Kong Hang Seng Index Option

Tseng, Cheng, Wang and Peng [19] use a perceptron neural network to forecast the Taiwan stock index option prices using the same inputs required for the Black-Scholes model.

Uso de una red neuronal artificial dinamica para pronosticar la volatilidad de una serie de tiempo financiera

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 prices.

Improving financial market conditions and economic recovery

"The OEX is the stock index option most actively traded among individual investors," says Stanley Marszalk, vice president of CMI Business Services Inc.

The price is right

This article examines the efficiency of the S&P 500 index options market using theoretical pricing relationships derived from stock index option no-arbitrage principles.

Evidence on the Efficiency of Index Options Markets

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.

The recent increase in the volatility of economic indicators

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.

Predictability and predictors of volatility smirk: a study on index options

Stock market volatility and the information content of the stock index options. Journal of Econometrics, 52, 267-287.

Testing pricing efficiency of index options using Black-Scholes model: evidence from Indian index options market

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.

Holidays, 'fiscal cliff' could impact market

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.

UPDATE2: Japan authorities probe missing pension money at asset manager

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.

Markets pause on Greece debt talk progress

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