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.
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.
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 no-arbitrage principles.
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.
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.
Bates compares the resulting equilibrium with various option pricing anomalies reported in the literature: the tendency of
stock index options to overpredict volatility and jump risk; the Jackwerth (2000) implicit pricing kernel puzzle; and the stochastic evolution of option prices.
Analysts warned of added volatility during the session due to 'triple witching,' the simultaneous expiration of stock index futures,
stock index options and stock options.
It occurs with the concurrent expiration of groups of stock index futures,
stock index options and options on individual stocks.
