Dispersion trading: Empirical evidence from U.S. 1 options markets

Дата: 
24/11/08
Авторы: 
Cara M. Marshall
Аннотация: 
This paper develops empirical evidence on the viability of a form of volatility trading known as “dispersion trading.” The results shed light on the efficiency with which U.S. options markets price volatility. Using end-of-day implied volatilities extracted from equity option prices for the stocks that comprise the S&P 500, the implied volatility of the S&P 500 is computed using a modification of the Markowitz variance equation. This Markowitz-implied volatility is then compared to the implied volatility of the S&P 500 extracted directly from index options on the S&P 500. These contemporaneousmeasures 22 of implied volatility are then examined for exploitable discrepancies both with and without transaction costs. The study covers the period October 31, 2005 through November 1, 2007. It is shown that, from a trader's perspective, index option implied volatility tended to be more often “rich” and component volatilities tended to be more often “cheap.” Nevertheless, there were times 28 when the opposite was true; suggesting that potential dispersion 29 trades can run in either direction. 30
Описание: 

Еще одна статья по торговле дисперсией корзины бумаг против индекса. В этот раз SnP 500 и корзина из всех входящих бумаг. Бэктеста тут нет, только немного статистики по полученным зависимостям. Как обычно, считаем волу корзины по Марковитцу и сравниваем с SnP.