SPX and SPY options

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Title

SPX and SPY options

Content partner

University of Otago

Collection

Otago University Research Archive

Description

This thesis studies the content of the implied volatility (IV) of SPX and SPY options, and explores the IV for the prediction of equity premiums and variance risk premiums, and compares these two option premiums. My thesis is organized in three chapters as follows, In Chapter 2, we provide a comprehensive study of the IV smirk in the SPDR S&P 500 exchange-traded fund (SPY ETF) option market. The IV curves are downward sloping with little curvature, exhibiting an almost straight line. However,...

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Format

Research paper

Research format

Scholarly text / Thesis

Thesis level

Doctoral

Date created

2021

Creator

Guo, Wei

URL

https://hdl.handle.net/10523/12109

Related subjects

SPX Options / SPY Options / Implied volatility smirk / Risk premium / Prediction

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