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Collections :	Ιδρυματικό Αποθετήριο ΟΠΑ / AUEB Institutional Repository Σχολή Διοίκησης Επιχειρήσεων / School of Business Τμήμα Λογιστικής και Χρηματοοικονομικής / Department of Accounting and Finance Μεταπτυχιακές Εργασίες / Postgraduate dissertations

Title :	Sector rotation in the US market, based on exploiting option information and implied volatility forecasting power

Creator :	Σταμίρης, Χρήστος

Contributor :	Γιαμουρίδης, Δανιήλ (Επιβλέπων καθηγητής) Athens University of Economics and Business, Department of Accounting and Finance (Degree granting institution)

Type :	Text

Extent :	78σ.

Language :	en

Abstract :	The shape of the volatility smirk has significant cross-sectional predictive power for future equity returns. Strategies based on several option measures predict returns and alphas on the underlying stock. In the present study we examine the return-‐implied volatility relation by using sector Exchange Traded Funds (ETFs) panel data (time-series cross-section), instead of the typical stock data. We attempted to create portfolio rotation strategies on sectors with constructed variables through Implied Volatility skew measures in US market. We try illustrate that option volatility skew predicts underlying ETF returns using two different methodologies.At first we conduct a panel regression to examine whether volatility skew can predict the next month’s return. Finally, we construct monthly long-short trading strategies based on the volatility skew measure.

Abstract :

The shape of the volatility smirk has significant cross-sectional predictive power for future equity returns. Strategies based on several option measures predict returns and alphas on the underlying stock. In the present study we examine the return-‐implied volatility relation by using sector Exchange Traded Funds (ETFs) panel data (time-series cross-section), instead of the typical stock data. We attempted to create portfolio rotation strategies on sectors with constructed variables through Implied Volatility skew measures in US market. We try illustrate that option volatility skew predicts underlying ETF returns using two different methodologies.At first we conduct a panel regression to examine whether volatility skew can predict the next month’s return. Finally, we construct monthly long-short trading strategies based on the volatility skew measure.

Subject :	Implied Volatility (IV) Exchange Traded Funds (ETFs) US market Skew measure Sector rotation

Date :	01-12-2015

Licence :

File: Stamiris_2015.pdf

Type: application/pdf

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