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Author : Daniella Acker
Publisher :
ISBN 13 :
Total Pages : 35 pages
Book Rating : 4.:/5 (248 download)
Download or read book Implied Standard Deviations and Post-earnings Announcement Volatility written by Daniella Acker and published by . This book was released on 2000 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Dušan Isakov
Publisher :
ISBN 13 :
Total Pages : 24 pages
Book Rating : 4.:/5 (129 download)
Download or read book Evolution of Market Uncertainty Around Earnings Announcements written by Dušan Isakov and published by . This book was released on 2013 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates theoretically and empirically the dynamics of the implied volatility (or implied standard deviation - ISD) around earnings announcements dates. The volatility implied by option prices can be interpreted as the level of volatility expected by the market over the remaining life of the option. We propose a theoretical framework for the evolution of the ISD that takes into account two well-known features of the instantaneous volatility: volatility clustering and the leverage effect. In this context, the ISD should decrease after an earnings announcement but the post-announcement ISD path depends on the content of the earnings announcement: good news or bad news. An empirical investigation is conducted on the Swiss market over the period 1989-1998.
Author : Qin Lei
Publisher :
ISBN 13 :
Total Pages : 43 pages
Book Rating : 4.:/5 (13 download)
Download or read book Volatility Spread and the Stock Market Response to Earnings Announcements written by Qin Lei and published by . This book was released on 2017 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using a broad sample of earnings announcements, we find that option call and put implied volatilities become increasingly misaligned as the earnings announcement dates (EAD) get closer. The percentage deviation between call and put implied volatilities increases monotonically in the one-month period leading up to the EAD. In addition, the direction of these deviations is consistent with the announcement returns of such earnings releases. More importantly, by adapting the earnings response coefficient (ERC) framework, we find that pre-earnings option trading actually increases rather than decreases the stock market response to the earnings announcements. In a cross section of earnings announcements, we find stronger stock market reaction from earnings announcements with greater abnormal implied volatility spread immediately before the EAD. By relating option volume to investor attention, we find higher pre-announcement option volume is associated with increased stock market response. Overall, our findings suggest that pre-earnings option trading helps alleviate the stock market under-reaction to earnings announcements and make the stock market response more complete.
Author : Natalie Benz
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (15 download)
Download or read book The Drift of Implied Volatilities Before Earnings Announcements written by Natalie Benz and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This master's thesis provides a comprehensive analysis of the behavior and influences of the S&P stock composition on implied volatility during earnings announcements that cover the period from 1996 to 2015. While prior studies have found that implied volatility increases in the pre-event period before an announcement, this thesis shows that implied volatility increases as soon as the announcement day is included in the lifetime of an option. In a liquid market, where information is processed much faster, the expectation of increased volatility is included in the lifetime of an option earlier and prevents an actual short-term updrift from occurring. Such liquid markets also exhibit some small deviations of implied volatility in the pre-announcement period, with increased uncertainty of the outcome of earnings announcements and divergent analyst forecasts. Cross-section regressions further reveal that relative drifts of implied volatility during earnings announcements are significantly explained not only by macroeconomic factors but also by the number of open contracts and the attention paid by investors and analysts. In a time when the CBOE Volatility Index (VIX) level is low and the spread between historical and implied volatility is high, overestimation of future volatility additionally leads to a stronger increase of drift.
Author : Jeff Augen
Publisher : FT Press
ISBN 13 : 0132703688
Total Pages : 301 pages
Book Rating : 4.1/5 (327 download)
Download or read book The Volatility Edge in Options Trading written by Jeff Augen and published by FT Press. This book was released on 2008-01-17 with total page 301 pages. Available in PDF, EPUB and Kindle. Book excerpt: “Jeff’s analysis is unique, at least among academic derivatives textbooks. I would definitely use this material in my derivatives class, as I believe students would benefit from analyzing the many dimensions of Jeff’s trading strategies. I especially found the material on trading the earnings cycle and discussion of how to insure against price jumps at known events very worthwhile.” —DR. ROBERT JENNINGS, Professor of Finance, Indiana University Kelley School of Business “This is not just another book about options trading. The author shares a plethora of knowledge based on 20 years of trading experience and study of the financial markets. Jeff explains the myriad of complexities about options in a manner that is insightful and easy to understand. Given the growth in the options and derivatives markets over the past five years, this book is required reading for any serious investor or anyone in the financial service industries.” —MICHAEL P. O’HARE, Head of Mergers & Acquisitions, Oppenheimer & Co. Inc. “Those in the know will find this book to be an excellent resource and practical guide with exciting new insights into investing and hedging with options.” —JIM MEYER, Managing Director, Sasqua Field Capital Partners LLC “Jeff has focused everything I knew about options pricing and more through a hyper-insightful lens! This book provides a unique and practical perspective about options trading that should be required reading for professional and individual investors.” —ARTHUR TISI, Founder and CEO, EXA Infosystems; private investor and options trader In The Volatility Edge in Options Trading, leading options trader Jeff Augen introduces breakthrough strategies for identifying subtle price distortions that arise from changes in market volatility. Drawing on more than a decade of never-before-published research, Augen provides new analytical techniques that every experienced options trader can use to study historical price changes, mitigate risk, limit market exposure, and structure mathematically sound high-return options positions. Augen bridges the gap between pricing theory mathematics and market realities, covering topics addressed in no other options trading book. He introduces new ways to exploit the rising volatility that precedes earnings releases; trade the monthly options expiration cycle; leverage put:call price parity disruptions; understand weekend and month-end effects on bid-ask spreads; and use options on the CBOE Volatility Index (VIX) as a portfolio hedge. Unlike conventional guides, The Volatility Edge in Options Trading doesn’t rely on oversimplified positional analyses: it fully reflects ongoing changes in the prices of underlying securities, market volatility, and time decay. What’s more, Augen shows how to build your own customized analytical toolset using low-cost desktop software and data sources: tools that can transform his state-of-the-art strategies into practical buy/sell guidance. An options investment strategy that reflects the markets’ fundamental mathematical properties Presents strategies for achieving superior returns in widely diverse market conditions Adaptive trading: how to dynamically manage option positions, and why you must Includes precise, proven metrics and rules for adjusting complex positions Effectively trading the earnings and expiration cycles Leverage price distortions related to earnings and impending options expirations Building a state-of-the-art analytical infrastructure Use standard desktop software and data sources to build world-class decision-making tools
Author : Bernard Dumas
Publisher :
ISBN 13 :
Total Pages : 34 pages
Book Rating : 4.:/5 (258 download)
Download or read book Implied Volatility Functions written by Bernard Dumas and published by . This book was released on 1996 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: Black and Scholes (1973) implied volatilities tend to be systematically related to the option's exercise price and time to expiration. Derman and Kani (1994), Dupire (1994), and Rubinstein (1994) attribute this behavior to the fact that the Black-Scholes constant volatility assumption is violated in practice. These authors hypothesize that the volatility of the underlying asset's return is a deterministic function of the asset price and time and develop the deterministic volatility function (DVF) option valuation model, which has the potential of fitting the observed cross-section of option prices exactly. Using a sample of S & P 500 index options during the period June 1988 through December 1993, we evaluate the economic significance of the implied deterministic volatility function by examining the predictive and hedging performance of the DV option valuation model. We find that its performance is worse than that of an ad hoc Black-Scholes model with variable implied volatilities.
Author : Monique W.M. Donders
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book The Impact of Firm Specific News on Implied Volatilities written by Monique W.M. Donders and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the implied volatility behavior of European Options Exchange call option prices around scheduled news announcement days of the underlying stock. Implied volatilities significantly increase during the pre-event period and reach a maximum at the eve of the news announcement. After the news release, the implied volatility drops sharply and is at its minimum four days after the news release. From that point on it gradually moves back to its long run level. These results also hold if implied volatilities are corrected for market-wide changes in volatility by subtracting the implied volatility of the EOE-index or the average implied volatility of a group of control stocks. The volatility of the underlying stocks does not change during the pre- and post-event period. Only at the event date itself movements in the price of the underlying stock are significantly larger than expected, given mean and standard deviation of the stock returns in the control period. Hence, volatility of the underlying assets seems to be higher only on event days. We give an option pricing model based on this one-time jump in volatility. The model implicates a pattern of changes in implied volatilities that roughly agrees with the above described pattern. We test two trading strategies that may profit from the movements in implied volatilities and find that the results are statistically insignificant.
Author : Market Technician's Association
Publisher : John Wiley & Sons
ISBN 13 : 1119251400
Total Pages : 855 pages
Book Rating : 4.1/5 (192 download)
Download or read book CMT Level I 2016 written by Market Technician's Association and published by John Wiley & Sons. This book was released on 2016-01-05 with total page 855 pages. Available in PDF, EPUB and Kindle. Book excerpt: Everything you need to pass Level I of the CMT Program CMT Level I 2016: An Introduction to Technical Analysis fully prepares you to demonstrate the basic competencies of an entry-level analyst, including a working knowledge of terminology and the ability to discuss key concepts and fundamental analytical tools. Covered topics address theory and history, markets, market indicators, construction, confirmation, cycles, selection and decision, system testing, statistical analysis, and ethics. The Level I exam emphasizes trend, chart, and pattern analysis. This cornerstone guidebook of the Chartered Market Technician® Program will provide every advantage to passing Level I.
Author : Market Technician's Association
Publisher : John Wiley & Sons
ISBN 13 : 1119222702
Total Pages : 896 pages
Book Rating : 4.1/5 (192 download)
Download or read book CMT Level II 2016: Theory and Analysis written by Market Technician's Association and published by John Wiley & Sons. This book was released on 2015-12-02 with total page 896 pages. Available in PDF, EPUB and Kindle. Book excerpt: Everything you need to pass Level II of the CMT Program CMT Level II 2016: Theory and Analysis fully prepares you to demonstrate competency applying the principles covered in Level I, as well as the ability to apply more complex analytical techniques. Covered topics address theory and history, market indicators, construction, confirmation, cycles, selection and decision, system testing, statistical analysis, and ethics. The Level II exam emphasizes trend, chart, and pattern analysis, as well as risk management concepts. This cornerstone guidebook of the Chartered Market Technician® Program will provide every advantage to passing Level II.
Author : Wiley
Publisher : John Wiley & Sons
ISBN 13 : 1119674441
Total Pages : 848 pages
Book Rating : 4.1/5 (196 download)
Download or read book CMT Level II 2020 written by Wiley and published by John Wiley & Sons. This book was released on 2020-01-02 with total page 848 pages. Available in PDF, EPUB and Kindle. Book excerpt: Everything you need to pass Level II of the CMT Program CMT Level II 2020: Theory and Analysis fully prepares you to demonstrate competency applying the principles covered in Level I, as well as the ability to apply more complex analytical techniques. Covered topics address theory and history, market indicators, construction, confirmation, cycles, selection and decision, system testing, and statistical analysis. The Level II exam emphasizes trend, chart, and pattern analysis, as well as risk management concepts. This cornerstone guidebook of the Chartered Market Technician® Program will provide every advantage to passing Level II CMT Exam.
Author : Sean Cao
Publisher :
ISBN 13 :
Total Pages : 45 pages
Book Rating : 4.:/5 (13 download)
Download or read book Earnings Volatility, Post-Earnings Announcement Drift and Trading Frictions written by Sean Cao and published by . This book was released on 2015 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: We find that lower ex-ante earnings volatility leads to higher Post-Earnings Announcement Drift (PEAD). PEAD is a function of both the magnitude of an earnings surprise and its persistence. While prior research has largely investigated market reactions to the magnitude of the earnings surprise, in this study we show that the persistence of the earnings surprise is equally important. A unique feature of the anomalous PEAD returns documented in this study concerns the association between abnormal returns and trading frictions. Besides documenting that firms with lower earnings volatility have higher abnormal returns, we also find that lower earnings volatility firms have lower trading frictions. Taken together, these findings imply that higher abnormal returns are associated with lower trading frictions. We exploit this implication to empirically demonstrate that PEAD returns due to earnings volatility are not concentrated in the firms with the largest trading frictions, which is in contrast to the findings in prior anomaly studies.
Author : CMT Association
Publisher : John Wiley & Sons
ISBN 13 : 1119871689
Total Pages : 679 pages
Book Rating : 4.1/5 (198 download)
Download or read book CMT Curriculum Level I 2022 written by CMT Association and published by John Wiley & Sons. This book was released on 2021-12-14 with total page 679 pages. Available in PDF, EPUB and Kindle. Book excerpt: Get Your Copy of the 2022 Official CMT® Level I Curriculum As the authoritative introduction to the basics of technical analysis, the Official CMT® Level I Curriculum includes the tools, content, and terminology you will need to prepare for the Level I exam and beyond. Published in partnership with the CMT Association, CMT Curriculum Level I 2022: An Introduction to Technical Analysis explores theory and history, markets, market indicators, construction, confirmation, cycles, selection and decision, system testing, and statistical analysis. This text covers all concepts appearing on the Level I CMT® exam, featuring industry-relevant topics and treatments of technical analysis in the context of portfolio management.
Author : Euan Sinclair
Publisher : John Wiley & Sons
ISBN 13 : 1118416724
Total Pages : 328 pages
Book Rating : 4.1/5 (184 download)
Download or read book Volatility Trading written by Euan Sinclair and published by John Wiley & Sons. This book was released on 2013-03-18 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt: Popular guide to options pricing and position sizing for quant traders In this second edition of this bestselling book, Sinclair offers a quantitative model for measuring volatility in order to gain an edge in everyday option trading endeavors. With an accessible, straightforward approach, he guides traders through the basics of option pricing, volatility measurement, hedging, money management, and trade evaluation. This new edition includes new chapters on the dynamics of realized and implied volatilities, trading the variance premium and using options to trade special situations in equity markets. Filled with volatility models including brand new option trades for quant traders Options trader Euan Sinclair specializes in the design and implementation of quantitative trading strategies Volatility Trading, Second Edition + Website outlines strategies for defining a true edge in the market using options to trade volatility profitably.
Author : Cmt Association
Publisher : John Wiley & Sons
ISBN 13 : 1394184786
Total Pages : 803 pages
Book Rating : 4.3/5 (941 download)
Download or read book Cmt Curriculum Level II 2023 written by Cmt Association and published by John Wiley & Sons. This book was released on 2022-12-28 with total page 803 pages. Available in PDF, EPUB and Kindle. Book excerpt: Get Your Copy of the Official 2023 CMT(R) Level II Curriculum Building upon the concepts covered in Level I, the Official CMT(R) Level II Curriculum is the authoritative resource for all candidates preparing for their second CMT exam. This text explores chart development and analysis, volatility in today's financial markets, behavioral finance, risk management concepts, and more. Published in partnership with the CMT Association, CMT Curriculum Level II 2023: Theory and Analysis of Technical Analysis covers all concepts featured on the Level II CMT(R) exam. This curriculum helps candidates both prepare for upcoming 2023 exams and improve their knowledge of fundamental topics in the theory and analysis of markets and securities.
Author : Wiley
Publisher : John Wiley & Sons
ISBN 13 : 1119674379
Total Pages : 672 pages
Book Rating : 4.1/5 (196 download)
Download or read book CMT Level I 2020 written by Wiley and published by John Wiley & Sons. This book was released on 2020-01-02 with total page 672 pages. Available in PDF, EPUB and Kindle. Book excerpt: Everything you need to pass Level I of the CMT Program CMT Level I 2020: An Introduction to Technical Analysis fully prepares you to demonstrate the basic competencies of an entry-level analyst, including a working knowledge of terminology and the ability to discuss key concepts and fundamental analytical tools. Covered topics address theory and history, markets, market indicators, construction, confirmation, cycles, selection and decision, system testing, and statistical analysis. The Level I exam emphasizes trend, chart, and pattern analysis. This cornerstone guidebook of the Chartered Market Technician® Program will provide every advantage to passing the Level I CMT Exam.
Author : Cmt Association
Publisher : John Wiley & Sons
ISBN 13 : 1394184778
Total Pages : 675 pages
Book Rating : 4.3/5 (941 download)
Download or read book Cmt Curriculum Level I 2023 written by Cmt Association and published by John Wiley & Sons. This book was released on 2022-12-28 with total page 675 pages. Available in PDF, EPUB and Kindle. Book excerpt: Get Your Copy of the 2023 Official CMT(R) Level I Curriculum As the authoritative introduction to the basics of technical analysis, the Official CMT(R) Level I Curriculum includes the tools, content, and terminology you will need to prepare for the Level I exam and beyond. Published in partnership with the CMT Association, CMT Curriculum Level I 2023: An Introduction to Technical Analysis explores theory and history, markets, market indicators, construction, confirmation, cycles, selection and decision, system testing, and statistical analysis. This text covers all concepts appearing on the Level I CMT(R) exam, featuring industry-relevant topics and treatments of technical analysis in the context of portfolio management.
Author : Jeff Augen
Publisher : FT Press
ISBN 13 : 0133047318
Total Pages : 929 pages
Book Rating : 4.1/5 (33 download)
Download or read book Jeff Augen's Options Trading Strategies (Collection) written by Jeff Augen and published by FT Press. This book was released on 2012-01-18 with total page 929 pages. Available in PDF, EPUB and Kindle. Book excerpt: Breakthrough option strategies from Jeff Augen: Three books packed with new tools and strategies for earning higher, more consistent profits and systematically controlling risk! In three remarkable books, Jeff Augen teaches you dozens of up-to-the-minute option trading strategies and techniques for earning powerful, consistent profits! The Option Trader’s Workbook, Second Edition offers start-to-finish hands-on practice with every leading strategy, including the newest trading techniques. Through hundreds of realistic problems (each with fully explained solutions), you’ll walk through trades designed to profit from changing prices, volatility, and time decay…plus new ways to use CBOE Weekly Options Expiration options, collars, covered calls, covered puts, ratio and variance trading, VIX options, volatility ETFs, and more…all without risking a dime! In Trading Options at Expiration: Strategies and Models for Winning the Endgame, Augen reveals new ways to structure positions that profit from predictable end-of-contract price distortions with remarkably low risk. Packed with brand-new statistical models, minute-by-minute pricing analyses, and optimized strategies, this book teaches you how to create trades that regularly deliver returns of 40%—300% with just two days of market exposure per month, or even less. Finally, in The Volatility Edge in Options Trading: New Technical Strategies for Investing in Unstable Markets, Augen introduces breakthrough strategies for identifying and profiting from subtle price distortions that arise from changes in market volatility. Drawing on more than a decade of never-before-published research, Augen shows option traders how to study historical price changes, mitigate risk, limit market exposure, and structure mathematically sound high-return positions. You’ll even discover how to build your own customized, low-cost analytical toolset to transform these state-of-the-art strategies into practical buy/sell signals!
