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You searched for subject:(Moneyness). Showing records 1 – 2 of 2 total matches.

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University of Texas – Austin

1. Feng, Haoqi, 1983-. Quantification of stock option risks and returns.

Degree: Mathematics, 2010, University of Texas – Austin

Under mild assumptions, the expected returns of call options increase as the strike price becomes higher. Two ways to define option moneyness are the ratio of strike price to stock price (K/S ratio) and log(K/S)/σ. This paper examines the positive relationship between the call option returns and the correspondent risks by establishing linear models regarding the option returns and the two ratios. Furthermore, these ratios can be used to predict the option returns based on the regression models in practice. Advisors/Committee Members: Greenberg, Betsy S. (advisor), Brockett, Patrick L. (committee member).

Subjects/Keywords: Option returns; Moneyness; Risk; Regression

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Feng, Haoqi, 1. (2010). Quantification of stock option risks and returns. (Thesis). University of Texas – Austin. Retrieved from http://hdl.handle.net/2152/ETD-UT-2010-05-942

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Feng, Haoqi, 1983-. “Quantification of stock option risks and returns.” 2010. Thesis, University of Texas – Austin. Accessed January 21, 2018. http://hdl.handle.net/2152/ETD-UT-2010-05-942.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Feng, Haoqi, 1983-. “Quantification of stock option risks and returns.” 2010. Web. 21 Jan 2018.

Vancouver:

Feng, Haoqi 1. Quantification of stock option risks and returns. [Internet] [Thesis]. University of Texas – Austin; 2010. [cited 2018 Jan 21]. Available from: http://hdl.handle.net/2152/ETD-UT-2010-05-942.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Feng, Haoqi 1. Quantification of stock option risks and returns. [Thesis]. University of Texas – Austin; 2010. Available from: http://hdl.handle.net/2152/ETD-UT-2010-05-942

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Saskatchewan

2. -7957-6322. Patterns and Determinants of the Intraday Bid-Ask Spread and Depth of CBOE Equity Options.

Degree: 2017, University of Saskatchewan

This paper analyzes the intraday variation of option bid-ask spreads. We find an L-shaped spread pattern for options confirming the findings of Chan et al. (1995), a reverse U-shaped pattern for option depth, and a reverse S-shaped pattern for the underlying stock spread. In addition, we use regression analysis to analyze the determinants of the intraday spread of options. Our regression models are based on the findings of Cho and Engle (1999), De Fontnouvelle et al. (2003), Pinter (2003), Wei and Zheng (2010), and Verousis and Gwilym (2013). We extend this literature by considering the time-of-the-day effect. We divide each trading day into thirteen 30-minute intervals and use dummy variables to represent the various intervals of the day. In addition, we consider how the spread varies depending on whether the option is out-of-the-money, near-the-money, or deep in-of-the-money. This study uses intraday quote-level data obtained from the Option Pricing Reporting Authority (OPRA) for equity options listed on the Chicago Board Options Exchange (CBOE) during January, February and March of 2010. Consistent with the propositions of previous studies, for example Wei and Zheng (2010) and Verousis and Gwilym (2013), we find that option bid-ask spreads and percentage option spreads are significantly related to the spreads of the underlying stocks, option depth, time to expiration, moneyness, the number of quote revisions, volatility of underlying stocks, and market volatility. In addition, this study is the first to incorporate the underlying stock price as a determinant of the option spread. We propose that the underlying stock price is a proxy for the hedging costs incurred by option writers. We also discover that option depth is driven by many of the same factors that affect option spread, but the effects are mostly opposite in direction and the collective explanatory power of them for option depth is not as strong as the explanatory power for option spread. As most of the previous studies were conducted with end-of-day data, we confirm their results at the intraday level. In addition, we find that the underlying stock prices have positive effect on option spreads in general. We attribute this relationship to the hedging activities of the suppliers of options. Another unique contribution of this study is finding that the CBOE SPX Volatility Index (VIX) has significant and positive impact on option dollar spread, but it is insignificant with respect to percentage option spread. Also, it has a significant negative impact on put and call option depth. Although other factors may be important, we believe that information asymmetry theory can satisfactorily explain the intraday behaviors of option spreads in most cases. As market makers attempt to fulfil their responsibilities by providing liquidity to the market, they provide quotations based on their perception of risks, most critical of which is information asymmetry risk. To manage such risk, they use wide option spread as a cushion to compensate for taking the risk of… Advisors/Committee Members: Tannous, George F. (advisor), Yang, Fan (committee member), Wilson, Craig (committee member), Wei, Jason Z. (committee member).

Subjects/Keywords: option bid-ask spread; option depth; intraday variation; information asymmetry; moneyness; hedging cost; VIX

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

-7957-6322. (2017). Patterns and Determinants of the Intraday Bid-Ask Spread and Depth of CBOE Equity Options. (Thesis). University of Saskatchewan. Retrieved from http://hdl.handle.net/10388/8317

Note: this citation may be lacking information needed for this citation format:
Author name may be incomplete
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

-7957-6322. “Patterns and Determinants of the Intraday Bid-Ask Spread and Depth of CBOE Equity Options.” 2017. Thesis, University of Saskatchewan. Accessed January 21, 2018. http://hdl.handle.net/10388/8317.

Note: this citation may be lacking information needed for this citation format:
Author name may be incomplete
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

-7957-6322. “Patterns and Determinants of the Intraday Bid-Ask Spread and Depth of CBOE Equity Options.” 2017. Web. 21 Jan 2018.

Note: this citation may be lacking information needed for this citation format:
Author name may be incomplete

Vancouver:

-7957-6322. Patterns and Determinants of the Intraday Bid-Ask Spread and Depth of CBOE Equity Options. [Internet] [Thesis]. University of Saskatchewan; 2017. [cited 2018 Jan 21]. Available from: http://hdl.handle.net/10388/8317.

Note: this citation may be lacking information needed for this citation format:
Author name may be incomplete
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

-7957-6322. Patterns and Determinants of the Intraday Bid-Ask Spread and Depth of CBOE Equity Options. [Thesis]. University of Saskatchewan; 2017. Available from: http://hdl.handle.net/10388/8317

Note: this citation may be lacking information needed for this citation format:
Author name may be incomplete
Not specified: Masters Thesis or Doctoral Dissertation

.