Volatility Aversion in the Options Market Based on News Sentiment

The author identifies and explains asymmetric reactions in implied volatility of S&P 500 Index options across the term structure based on news sentiment. The asymmetry of the reaction is more pronounced for fear (proxied by put options) than for greed (proxied by call options). This asymmetry is termed factor volatility aversion, which is more pronounced the shorter the time to maturity of the option

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Year of publication:	2019
Authors:	Uhl, Matthias
Publisher:	[2019]: [S.l.] : SSRN
Subject:	Volatilität \| Volatility \| Optionsgeschäft \| Option trading \| Anlageverhalten \| Behavioural finance \| Derivat \| Derivative
Description of contents:	Abstract [papers.ssrn.com]

Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Journal of Derivatives, Summer 2018, Vol. 25 (4), pp. 24-35 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 9, 2018 erstellt Volltext nicht verfügbar
Classification:	g02 ; G10 - General Financial Markets. General ; G14 - Information and Market Efficiency; Event Studies
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012899614