Posts Tagged ‘options


Fun & Finance: #15, Charla sobre la Tasa Libre de Riesgo

En este episodio, Manuel le explica a Gaston que es la Tasa Libre de Riesgo y -de forma introductoria- que rol juega en los modelos de pricing de activos.

Siempre Mejor en HD

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Paper: Opciones, un poco de historia

The Early History of Option Contracts


This chapter discusses the history of option contracts from ancient times until the appearance of Theorie der Prämiengeschäfte by Vincenz Bronzin in 1908.  The history examines the use of contracts with option features prior to the introduction of trade in free standing option contracts on the Antwerp bourse during the 16 th century.  Descriptions of the Amsterdam share option market by de la Vega in the 17 th century and de Pinto in the 18 th century are reviewed.  The specific language of a late 17 th century English option contract is provided in detail.  The development and practice of option trading in the 18 th  and 19 th centuries, as reflected  in merchant manuals of that period, is examined.  The article concludes with an overview of late 19 th century option trading in securities and commodities.

Link al Paper


Applied Finance with R

Ese fue el slogan de R/FINANCE 2011. Gracias al twitter de Quantivity, llegue a las presentaciones de esta Conferencia que se realizó en Chicago (USA), el 29 y 30 de Abril.

Aqui esta el link a todas las presentaciones.


Fun & Finance: #13, Charla sobre Opciones

En este episodio, Gaston empieza a trabajar con opciones y Leo le da una mano explicándole -de forma introductoria- de que tratan. Y para el final, le cuenta de una estrategia utilizada mucho en Argentina.

Siempre mejor en HD.

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Tabla du Jour: un VIX de Lunes…

(Fuente: Yahoo Finance)


Paper: Opciones sobre ETFs y Volatilidad Implicita

The Implied Volatility of ETF and Index Options

We examine the option-implied volatility of the three most liquid ETFs (Diamonds, Spiders, and Cubes) and their respective tracking indices (Dow 30, S&P 500, and NASDAQ 100). We find that volatility smiles for ETF options are more pronounced than for index options, primarily because deep-in-themoney ETF options have considerably higher implied volatility than deep-in-the-money index options. The observed difference in implied volatility is not due to a difference between the realized return distributions of the underlying ETFs and indices. Differences in implied volatility for ETF and index options also do not appear to be explained by discrepancies in net buying pressure, as theorized by Bollen and Whaley (2004).

Link al Paper


Finanzas 101: FX risk reversal

Debido al aumento de volatilidad en el Forex, un concepto interesante para aprender es el Risk Reversal.

(…) This indicator represents a proxy for investor concerns that (currency) will collapse suddenly, and its high level suggests that this is indeed a growing concern. (…)

Según Investopedia

In foreign-exchange trading, risk reversal is the difference in volatility (delta) between similar call and put options, which conveys market information used to make trading decisions.

Para Sala de Inversiones

Muestra la diferencia en volatilidad, y por tanto en precio, entre las puts y las calls sobre las opciones out of the money más liquidas cotizadas en el mercado al contado. Los valores positivos indican que las calls son más caras que las puts (la protección al alza en el subyacente spot es relativamente más cara), mientras que los valores negativos indican que las puts son más caras que las calls (la protección a la baja en el subjacente spot es más cara). Los cambios significativos pueden indicar un cambio en las expectativas de mercado para la dirección futura del tipo de cambio de divisas subyacente spot.

Conforme a Global Market Financial Institute,

The market has established a 25 (0.25) delta benchmark for risk reversal quotes.

Listo con las definiciones básicas, ahora el DB tiene una muy buena guía-del 2006- para sacarle provecho al tema. 





Gráfico du Jour: VIX y su numerología…baja

(Fuente: Barrons*)


*: Esta fuente, tiene un buen debate sobre el VIX. Y Condor Options tambien tiene algo para decir al respecto.


Exploración Offshore y Valor de opción

The BP Gulf Coast Oil Spill, Option Value, and the Of shore Drilling Debate

In the wake of recent unrest in the Middle East, rising gasoline prices have politicians from both parties  scrambling to ramp up domestic oil production. Perhaps ironically, this scramble coincides with the one  year anniversary of the BP Gulf Coast Oil Spill, the single largest of shore oil spill in history.
This regulatory report examines the economics of increased domestic oil drilling, in light of large uncertainties associated with this activity. Many of the most important factors for making smart choices about oil drilling are uncertain: future oil prices cannot be perfectly forecasted; science has a limited understanding of the scope and consequence of environmental damages from oil exploration, production, and accidents; and the rates of technological innovation for both production improvements and cleanup  technologies are dii cult to predict.
The primary finding of this report is that, unless uncertainty is incorporated into the economic models used to determine whether oil drilling is appropriate, the United States will allow too much drilling, too soon, and with too much risk. h is reality should be rel ected in how the Department of the Interior structures the sale of leases to extract of shore oil—but presently, it is not.
A major l aw with the rhetoric currently dominating both sides of the political debate over domestic oil drilling is the focus on gasoline prices. In fact, expanding domestic drilling will have practically no ef ect on, and so should not be motivated by, gasoline prices. Economic analysis of oil markets shows that expanding domestic oil production is “not likely [to] have a signii cant impact on prices that consumers pay at the gasoline pump now or in the future.” Because the United States is engaged in global oil markets, even relatively large domestic changes in production will be swallowed by the larger global supply and demand,  leading to only negligible changes in price.
If increasing domestic oil production is economically justifier, it will not be as an ef ective or ei cient  response to rising gasoline prices. Rather, the choice would only be justified because the benei ts of  drilling (namely, revenue from the operation) outweigh the costs (like the production costs and the risks  of environmental damage from accidents). Consequently, to make that choice, the full extent of both the benefits and costs of drilling must be examined.

Link al Paper


Finanzas 101: Modelar la volatilidad

El blog Quantitative Research and Trading propone una serie de posts sobre volatilidad y pricing de opciones. Asi mismo, linkea una presentación la cual vale la pena mirar.

En esta primera entrega ofrece algunos conceptos claves sobre volatilidad como este:


Mean Reversion vs. Momentum
A puzzling feature of much of the literature on volatility is that it tends to stress the mean-reverting behavior of volatility processes.  This appears to contradict the finding that volatility behaves as a reinforcing process, whose long-term serial autocorrelations create a tendency to trend.  This leads to one of the most important findings about asset processes in general, and volatility process in particular: i.e. that the assets processes are simultaneously trending and mean-reverting.  One way to understand this is to think of volatility, not as a single process, but as the superposition of two processes:  a long term process in the mean, which tends to reinforce and trend, around which there operates a second, transient process that has a tendency to produce short term spikes in volatility that decay very quickly.  In other words, a transient, mean reverting processes inter-linked with a momentum process in the mean.  The presentation discusses two-factor modeling concepts along these lines, and about which I will have more to say later.


Fun & Finance


Fun & Finance Rollover

"It is hard to be finite upon an infinite subject, and all subjects are infinite." Herman Melville

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July 2020



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