English
Apuntarme a la lista de espera
Los libros... aunque no gratis
10 Strategier Som Slår BörsenSvenska10 Strategier Som Slår Börsen10 Strategies That Beat the MarketEnglish10 Strategies That Beat the MarketProRealTime Coding Made SimpleEnglishProRealTime Coding Made Simple
600+EstadísticasEstadísticas de mercado y ventajas1,327EstrategiasBiblioteca de estrategias probadas18Papers de investigaciónEl estudio detrás de los algos301DocumentaciónReferencia de ProBuilder27Programa de desarrollo de algosCursos y lecciones24Todo esto alimenta los 24 algosVer los algos

Estadísticas › Opciones, shorts y posicionamiento › Index put premium

The famous index put premium is not statistically significant

0.94 moneyness
-56.8%
0.96 moneyness
-52.3%
0.98 moneyness
-44.7%
1.00 moneyness
-29.9%
1.02 moneyness
-19.0%

Average monthly return to BUYING S&P 500 futures puts, August 1987 to June 2005, 215 months. t statistics run from minus 3.3 to minus 4.2. Writing the puts earns the opposite sign. The pattern is clean, monotonic and, for the deepest strikes, not statistically distinguishable from a model with no mispricing in it.

Buying out-of-the-money S&P 500 puts lost 56.8% a month for eighteen years, a figure quoted everywhere as proof that crash insurance is overpriced. Under a finite-sample test the same number has a p value of 8.1% and does not reject.

-56.8%Monthly return to buying the 0.94 moneyness S&P 500 put, 1987 to 2005
8.1%Finite-sample p value of that figure against Black-Scholes
24.1%The same p value against a stochastic volatility model
-15.7%Monthly return to at-the-money straddles, which does survive the test

Solo para miembros

El resto de esta página es para miembros

Below this point there are 6 sections, 1 table and 2 named sources, roughly 550 words of it. Every figure carries the source it came from and the date the data is from.

Puedes seguir consultando todas las estadísticas de la biblioteca gratis. La introducción y el resumen están siempre abiertos.