Implied volatility

Chapter 15 Quiz 15.1) A portfolio is currently worth $10 million and has a beta of 1.0. An index is currently standing at 800. Explain how a put option with a strike price of 700 can be used to provide portfolio insurance. Index goes down to 700 10*(800/700)= 8.75 million Buying put options= 10,000,000/800= 12,500 If you buy the options at 800, the value will be 12,500 times the index with a strike price of 700 therefore providing protection against a drop in the value of the portfolio below

such as equity volatility, liquidity, interest rate levels and the slope of the treasury term structure are also significant factors in determining changes in the yield spread (Radier et al, 2013; Lepone & Wong, 2009; Peter & Grandes, 2007; Collin-Dufresne, Goldstein & Martin, 2001). 2.1 Equity Volatility One of the three factors which Merton (1974) found to be a significant determinant of the yield spread was the probability of default as indicated by the firm-specific equity volatility on the stock

The Case Study of Wan-Sheng Biotechnology Farm – Understanding agricultural Supply Chain for Mitigation of Volatility in the Role of Intermediaries 3. Literature Review 3.1 Agri-food Supply Chains The trend of agriculture market is not usually linear and deterministic (Kellard & Wohar 2006). The characteristics lead to uncertainty and unpredictability of market so that companies in supply chain are hard to make the precise plan of production for upstream suppliers and purchase volume for retailers

Executive summary Blue Arrow is a publicly held firm and the leading UK employment agency. The management is thinking about expanding further in to the US by buying the largest temporary help company in the world, Manpower. The bid was to be made by a cash tender offer funded by a fully underwritten rights issue of £837 million. In this report we calculate the value of one right and the value of the underwriter's put as of August 3 by using the Black-Scholes and put-call parity valuation approach

R. Kuipers. "The Mispricing of    Callable U.S. Treasury Bonds: A Closer Look." Journal of Futures Markets 18.1 (1998): 35-51. Web. 3. Bliss, Robert R., and Ehud I. Ronn. "Callable U.S. Treasury Bonds: Optimal Calls,        Anomalies, and Implied Volatilities." The Journal of Business 71.2 (1998): 211-52. Web. 4. "Bonds 200." Why Compan

Difference between the following performance measures: The Sharpe ratio It is a ratio that describes how much excess return on investment the business is receiving for the extra volatility experienced by holding a riskier asset. It is the reward for holding a risky asset in a portfolio. The ratio is calculated by dividing the portfolio risk premium by the portfolio standard deviation. The ratio is given as follows: Sharpe ratio = (r P – r f )/ σ P Where: r- is the average rate of return of asset

correspond to historical stock price volatility. › After September 11, 2001, such an investor would have been classified as extremely overconfident, although the ex ante prediction looked quite reasonable. › This is why several studies compare the volatility expectation implied by the width of the stated confidence interval with a reasonable benchmark such as the historical volatility or the volatility implied by the option market. - Different benchmarks for volatility only affect the amount of overconfidence

Impact of latent variables in option trading on GILT segment (A working Paper) By Bikramaditya Ghosh Backdrop GILT as a segment (especially the 10 Year one) is always a coveted one for all types of treasury related activities, across countries. GILT is traditionally purchased and traded either as future segment or in cash segment. Traditionally in India GILT trading happens more on the futures route. Ideally this depends upon the number of contracts on offer and open interest generated among traders

-216- Xilinx, Inc.—Stock-based Compensation Xilinx, Inc. designs, develops, and markets complete programmable logic solutions, including advanced integrated circuits, software design tools, predefined system functions delivered as intellectual property cores, customer training, field engineering and technical support. Customers are electronic equipment manufacturers primarily in the telecommunications, networking, computing, industrial, and consumer markets. Products are sold globally through

Executive Summary In this paper, energy price volatility with regards natural gas will be expounded on the essentials of market requisites. The report explains a number of factors that lead to price differences in the market and price volatility implications to oil and gas companies and industry. Supply and demand factors play a major role in shaping natural gas prices but factors such as war, environment and OPEC contribute to price differentials. Value-at-Risk (VaR) evaluates and quantifies risk