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Stats › Opties, shorts en positionering › 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

Alleen voor leden

De rest van deze pagina is voor leden

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.

Je kunt elke statistiek in de bibliotheek gratis blijven bekijken. De intro en de samenvatting zijn altijd open.