The Experts below are selected from a list of 17448 Experts worldwide ranked by ideXlab platform
Priyank Gandhi - One of the best experts on this subject based on the ideXlab platform.
-
Treasury Yield Implied Volatility and Real Activity
SSRN Electronic Journal, 2017Co-Authors: Martijn Cremers, Matthias Fleckenstein, Priyank GandhiAbstract:We show that at-the-money Implied Volatility of options on futures of 5-year Treasury notes (Treasury ‘yield Implied Volatility’) predicts both the growth rate and Volatility of gross domestic product, as well as of other macroeconomic variables, like industrial production, consumption, and employment. This predictability is robust to controlling for the term spread, credit spread, stock returns, stock market Implied Volatility, and several other variables that prior literature showed to predict macroeconomic activity. Our results indicate that Treasury yield Implied Volatility is a useful forward-looking state variable to characterize risks and opportunities in the macro economy.
-
Treasury yield Implied Volatility and real activity
Journal of Financial Economics, 1Co-Authors: Martijn Cremers, Matthias Fleckenstein, Priyank GandhiAbstract:Abstract We show that at-the-money Implied Volatility of options on futures of five-year Treasury notes (Treasury “yield Implied Volatility”) predicts both the growth rate and Volatility of gross domestic product, as well as of other macroeconomic variables, like industrial production, consumption, and employment. This predictability is robust to controlling for the term spread, credit spread, stock returns, stock market Implied Volatility, and several other variables that prior literature showed to predict macroeconomic activity. Our results indicate that Treasury yield Implied Volatility is a useful forward-looking state variable to characterize risks and opportunities in the macro economy.
Martijn Cremers - One of the best experts on this subject based on the ideXlab platform.
-
Treasury Yield Implied Volatility and Real Activity
SSRN Electronic Journal, 2017Co-Authors: Martijn Cremers, Matthias Fleckenstein, Priyank GandhiAbstract:We show that at-the-money Implied Volatility of options on futures of 5-year Treasury notes (Treasury ‘yield Implied Volatility’) predicts both the growth rate and Volatility of gross domestic product, as well as of other macroeconomic variables, like industrial production, consumption, and employment. This predictability is robust to controlling for the term spread, credit spread, stock returns, stock market Implied Volatility, and several other variables that prior literature showed to predict macroeconomic activity. Our results indicate that Treasury yield Implied Volatility is a useful forward-looking state variable to characterize risks and opportunities in the macro economy.
-
Treasury yield Implied Volatility and real activity
Journal of Financial Economics, 1Co-Authors: Martijn Cremers, Matthias Fleckenstein, Priyank GandhiAbstract:Abstract We show that at-the-money Implied Volatility of options on futures of five-year Treasury notes (Treasury “yield Implied Volatility”) predicts both the growth rate and Volatility of gross domestic product, as well as of other macroeconomic variables, like industrial production, consumption, and employment. This predictability is robust to controlling for the term spread, credit spread, stock returns, stock market Implied Volatility, and several other variables that prior literature showed to predict macroeconomic activity. Our results indicate that Treasury yield Implied Volatility is a useful forward-looking state variable to characterize risks and opportunities in the macro economy.
Ronnie Sircar - One of the best experts on this subject based on the ideXlab platform.
-
Implied Volatility of Leveraged ETF Options
Applied Mathematical Finance, 2014Co-Authors: Tim Leung, Ronnie SircarAbstract:AbstractThis paper studies the problem of understanding Implied volatilities from options written on leveraged exchanged-traded funds (LETFs), with an emphasis on the relations between LETF options with different leverage ratios. We first examine from empirical data the Implied Volatility skews for LETF options based on the S&P 500. In order to enhance their comparison with non-leveraged ETFs, we introduce the concept of moneyness scaling and provide a new formula that links option Implied volatilities between leveraged and unleveraged ETFs. Under a multiscale stochastic Volatility framework, we apply asymptotic techniques to derive an approximation for both the LETF option price and Implied Volatility. The approximation formula reflects the role of the leverage ratio, and thus allows us to link Implied volatilities of options on an ETF and its leveraged counterparts. We apply our result to quantify matches and mismatches in the level and slope of the Implied Volatility skews for various LETF options usin...
-
Implied Volatility of Leveraged ETF Options
SSRN Electronic Journal, 2012Co-Authors: Tim Leung, Ronnie SircarAbstract:This paper studies the problem of understanding Implied volatilities from options written on leveraged exchanged-traded funds (LETFs), with an emphasis on the relations between LETF options with different leverage ratios. We first examine from empirical data the Implied Volatility skews for LETF options based on the S&P 500. In order to enhance their comparison with non-leveraged ETFs, we introduce the concept of moneyness scaling and provide a new formula that links option Implied volatilities between leveraged and unleveraged ETFs. Under a multiscale stochastic Volatility framework, we apply asymptotic techniques to derive an approximation for both the LETF option price and Implied Volatility. The approximation formula reflects the role of the leverage ratio, and thus allows us to link Implied volatilities of options on an ETF and its leveraged counterparts. We apply our result to quantify matches and mismatches in the level and slope of the Implied Volatility skews for various LETF options using data from the underlying ETF option prices. This reveals some apparent biases in the leverage Implied by the market prices of different products, long and short with leverage ratios two times and three times.
-
Maturity cycles in Implied Volatility
Finance and Stochastics, 2004Co-Authors: Jean-pierre Fouque, George Papanicolaou, Ronnie Sircar, Knut SolnaAbstract:The skew effect in market Implied Volatility can be reproduced by option pricing theory based on stochastic Volatility models for the price of the underlying asset. Here we study the performance of the calibration of the S&P 500 Implied Volatility surface using the asymptotic pricing theory under fast mean-reverting stochastic Volatility described in [8]. The time-variation of the fitted skew-slope parameter shows a periodic behaviour that depends on the option maturity dates in the future, which are known in advance. By extending the mathematical analysis to incorporate model parameters which are time-varying, we show this behaviour can be explained in a manner consistent with a large model class for the underlying price dynamics with time-periodic Volatility coefficients.
Matthias Fleckenstein - One of the best experts on this subject based on the ideXlab platform.
-
Treasury Yield Implied Volatility and Real Activity
SSRN Electronic Journal, 2017Co-Authors: Martijn Cremers, Matthias Fleckenstein, Priyank GandhiAbstract:We show that at-the-money Implied Volatility of options on futures of 5-year Treasury notes (Treasury ‘yield Implied Volatility’) predicts both the growth rate and Volatility of gross domestic product, as well as of other macroeconomic variables, like industrial production, consumption, and employment. This predictability is robust to controlling for the term spread, credit spread, stock returns, stock market Implied Volatility, and several other variables that prior literature showed to predict macroeconomic activity. Our results indicate that Treasury yield Implied Volatility is a useful forward-looking state variable to characterize risks and opportunities in the macro economy.
-
Treasury yield Implied Volatility and real activity
Journal of Financial Economics, 1Co-Authors: Martijn Cremers, Matthias Fleckenstein, Priyank GandhiAbstract:Abstract We show that at-the-money Implied Volatility of options on futures of five-year Treasury notes (Treasury “yield Implied Volatility”) predicts both the growth rate and Volatility of gross domestic product, as well as of other macroeconomic variables, like industrial production, consumption, and employment. This predictability is robust to controlling for the term spread, credit spread, stock returns, stock market Implied Volatility, and several other variables that prior literature showed to predict macroeconomic activity. Our results indicate that Treasury yield Implied Volatility is a useful forward-looking state variable to characterize risks and opportunities in the macro economy.
Tim Leung - One of the best experts on this subject based on the ideXlab platform.
-
Implied Volatility of Leveraged ETF Options
Applied Mathematical Finance, 2014Co-Authors: Tim Leung, Ronnie SircarAbstract:AbstractThis paper studies the problem of understanding Implied volatilities from options written on leveraged exchanged-traded funds (LETFs), with an emphasis on the relations between LETF options with different leverage ratios. We first examine from empirical data the Implied Volatility skews for LETF options based on the S&P 500. In order to enhance their comparison with non-leveraged ETFs, we introduce the concept of moneyness scaling and provide a new formula that links option Implied volatilities between leveraged and unleveraged ETFs. Under a multiscale stochastic Volatility framework, we apply asymptotic techniques to derive an approximation for both the LETF option price and Implied Volatility. The approximation formula reflects the role of the leverage ratio, and thus allows us to link Implied volatilities of options on an ETF and its leveraged counterparts. We apply our result to quantify matches and mismatches in the level and slope of the Implied Volatility skews for various LETF options usin...
-
Implied Volatility of Leveraged ETF Options
SSRN Electronic Journal, 2012Co-Authors: Tim Leung, Ronnie SircarAbstract:This paper studies the problem of understanding Implied volatilities from options written on leveraged exchanged-traded funds (LETFs), with an emphasis on the relations between LETF options with different leverage ratios. We first examine from empirical data the Implied Volatility skews for LETF options based on the S&P 500. In order to enhance their comparison with non-leveraged ETFs, we introduce the concept of moneyness scaling and provide a new formula that links option Implied volatilities between leveraged and unleveraged ETFs. Under a multiscale stochastic Volatility framework, we apply asymptotic techniques to derive an approximation for both the LETF option price and Implied Volatility. The approximation formula reflects the role of the leverage ratio, and thus allows us to link Implied volatilities of options on an ETF and its leveraged counterparts. We apply our result to quantify matches and mismatches in the level and slope of the Implied Volatility skews for various LETF options using data from the underlying ETF option prices. This reveals some apparent biases in the leverage Implied by the market prices of different products, long and short with leverage ratios two times and three times.
