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논문 기본 정보

자료유형
학술저널
저자정보
저널정보
한국유통과학회 유통과학연구 유통과학연구 제13권 제5호
발행연도
2015.1
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53 - 60 (8page)

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Purpose – The purpose of this paper is to shed light on the importance of the slope and curvature of the volatility curve implied in option prices in the KOSPI 200 options index. A number of studies examine the implied volatility curve, however, these usually focus on cross-sectional characteristics such as the volatility smile. Contrary to previous studies, we focus on time-series characteristics; we investigate correlation dynamics among slope, curvature, and level of the implied volatility curve to capture market information embodied therein. Our study may provide useful implications for investors to utilize current market expectations in managing portfolios dynamically and efficiently. Research design, data, and methodology – For our empirical purpose, we gathered daily KOSPI200 index option prices executed at 2:50 pm in the Korean Exchange distribution market during the period of January 2, 2004 and January 31, 2012. In order to measure slope and curvature of the volatility curve, we use approximated delta distance; the slope is defined as the difference of implied volatilities between 15 delta call options and 15 delta put options; the curvature is defined as the difference between out-of-the-money (OTM) options and at-the-money (ATM) options. We use generalized method of moments (GMM) and the seemingly unrelated regression (SUR) method to verify correlations among level, slope, and curvature of the implied volatility curve with statistical support. Results – We find that slope as well as curvature is positively correlated with volatility level, implying that put option pri-ces increase in a downward market. Further, we find that curvature and slope are positively correlated; however, the relation is weakened at deep moneyness. The results lead us to examine whether slope decreases monotonically as the delta increases, and it is verified with statistical significance that the deeper the moneyness, the lower the slope. It enables us to infer that when volatility surges above a certain level due to any tail risk, investors would rather take long positions in OTM call options, expecting market recovery in the near future. Conclusions – Our results are the evidence of the investor’s increasing hedging demand for put options when downside market risks are expected. Adding to this, the slope and curvature of the volatility curve may provide important information regarding the timing of market recovery from a nosedive. For financial product distributors, using the dynamic relation among the three key indicators of the implied volatility curve might be helpful in enhancing profit and gaining trust and loyalty. However, it should be noted that our implications are limited since we do not provide rigorous evidence for the predictability power of volatility curves. Meaning, we need to verify whether the slope and curvature of the volatility curve have statistical significance in predicting the market trough. As one of the verifications, for instance, the performance of trading strategy based on information of slope and curvature could be tested. We reserve this for the future research.
#KOSPI 200 Index Options #Implied Volatility #Slope #Curvature #Seemingly Unrelated Regression #SUR) #Financial Distribution Industry

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참고문헌 (24)

참고문헌 신청
Bakshi, Gurdip. / 2003 / Stock return characteristics, skew laws, and the differential pricing of individual equity options / Review of Financial Studies 16 (1) : 101 ~ 143 google schola Banerjee, Shantanu / 2006 / Support vector machine as an efficient framework for stock market volatility forecasting / Computational Management Science 3 (2) : 147 ~ 160 google schola Bates, David S. / 1991 / The crash of '87 : Was it expected? The evidence from options markets / The journal of finance 46 (3) : 1009 ~ 1044 google schola Bedendo, Mascia / 2009 / The dynamics of the volatility skew : A Kalman filter approach / Journal of Banking & Finance 33 (6) : 1156 ~ 1165 google schola Black, Fischer / 1973 / The pricing of options and corporate liabilities / The Journal of Political Economy 81 : 637 ~ 654 google schola

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