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An empirical study on the early exercise premium of American options: Evidence from OEX and XEO options 美式期权提前行使溢价的实证研究：来自 OEX 和 XEO 期权的证据
IF 1.9 4区 经济学
Journal of Futures Markets Pub Date : 2024-04-10 DOI: 10.1002/fut.22508
Weihan Li, Jin E. Zhang, Xinfeng Ruan, Pakorn Aschakulporn
{"title":"An empirical study on the early exercise premium of American options: Evidence from OEX and XEO options","authors":"Weihan Li,&nbsp;Jin E. Zhang,&nbsp;Xinfeng Ruan,&nbsp;Pakorn Aschakulporn","doi":"10.1002/fut.22508","DOIUrl":"10.1002/fut.22508","url":null,"abstract":"<p>Since the S&amp;P 100 Index underlies both American (OEX) and European (XEO) options, the value of the early exercise premium of American options can be directly observed. We find that the mid-quote of an XEO option can be higher than that of an otherwise identical OEX option, and liquidity can explain this overpricing phenomenon of European options. Our results show that illiquid options are significantly overpriced in the S&amp;P 100 Index options market. This finding indicates that an illiquid option can be overvalued with a higher market offer price, which is the requirement of market makers for compensation for providing liquidity.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 7","pages":"1117-1153"},"PeriodicalIF":1.9,"publicationDate":"2024-04-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22508","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140568475","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Considering momentum spillover effects via graph neural network in option pricing 在期权定价中通过图神经网络考虑动量溢出效应
IF 1.9 4区 经济学
Journal of Futures Markets Pub Date : 2024-04-09 DOI: 10.1002/fut.22506
Yao Wang, Jingmei Zhao, Qing Li, Xiangyu Wei
{"title":"Considering momentum spillover effects via graph neural network in option pricing","authors":"Yao Wang,&nbsp;Jingmei Zhao,&nbsp;Qing Li,&nbsp;Xiangyu Wei","doi":"10.1002/fut.22506","DOIUrl":"10.1002/fut.22506","url":null,"abstract":"<p>Traditional options pricing relies on underlying asset volatility and contract properties. However, asset volatility is affected by the “lead–lag effects,” known as the “momentum spillover effect.” To address this, we propose a proxy measuring correlated options' influence based on maturity date. Findings indicate that 1-day-lagged proxy indicators positively impact option returns. Furthermore, to capture the dynamic effects of correlated options, we introduce a deep graph neural network-based model (GNN-MS). Empirical results on Shanghai Stock Exchange 50 exchange-traded fund options reveal GNN-MS significantly outperforms classics, enhancing root-mean-square error by at least 8.81%. This study provides novel insights into option pricing considering momentum spillover effects.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 6","pages":"1069-1094"},"PeriodicalIF":1.9,"publicationDate":"2024-04-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140568481","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Journal of Futures Markets: Volume 44, Number 5, May 2024 期货市场期刊》：第 44 卷第 5 号，2024 年 5 月
IF 1.9 4区 经济学
Journal of Futures Markets Pub Date : 2024-04-08 DOI: 10.1002/fut.22431
{"title":"Journal of Futures Markets: Volume 44, Number 5, May 2024","authors":"","doi":"10.1002/fut.22431","DOIUrl":"https://doi.org/10.1002/fut.22431","url":null,"abstract":"","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 5","pages":"697"},"PeriodicalIF":1.9,"publicationDate":"2024-04-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22431","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140537678","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Riemannian-geometric regime-switching covariance hedging 黎曼几何制度切换协方差对冲
IF 1.9 4区 经济学
Journal of Futures Markets Pub Date : 2024-03-18 DOI: 10.1002/fut.22500
Hsiang-Tai Lee
{"title":"Riemannian-geometric regime-switching covariance hedging","authors":"Hsiang-Tai Lee","doi":"10.1002/fut.22500","DOIUrl":"10.1002/fut.22500","url":null,"abstract":"<p>This study develops a regime-switching Riemannian-geometric covariance framework for futures hedging. The covariance of conventional regime-switching BEKK (Baba, Engle, Kraft and Kroner) (RSBEKK) evolves on flat spaces that exclude a prior the possibility of inherent geometric covariance dynamic. A Riemannian-geometric regime-switching BEKK (RG-RSBEKK) is proposed such that the covariance moves along a trajectory on Riemannian manifolds. RG-RSBEKK is applied to China Securities Index 300 futures for hedging the stock sector exposures. Empirical results reveal that specifying covariance dynamic on curved spaces enhances hedging effectiveness based on the model confidence set with loss measures of variance, utility, value-at-risk, and Frobenius distance.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 6","pages":"1003-1054"},"PeriodicalIF":1.9,"publicationDate":"2024-03-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140171102","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The impact of air pollution on crude oil futures market 空气污染对原油期货市场的影响
IF 1.9 4区 经济学
Journal of Futures Markets Pub Date : 2024-03-18 DOI: 10.1002/fut.22503
Ting Yao, Yue-Jun Zhang
{"title":"The impact of air pollution on crude oil futures market","authors":"Ting Yao,&nbsp;Yue-Jun Zhang","doi":"10.1002/fut.22503","DOIUrl":"10.1002/fut.22503","url":null,"abstract":"<p>This study investigates whether and how air pollution can affect the crude oil futures market. The results indicate that, although air pollution does not significantly affect oil returns, it does have a significant negative impact on volatility and liquidity in the crude oil futures market in the presence of pit trading. Furthermore, air pollution near the New York Mercantile Exchange (NYMEX) negatively affects both volatility and liquidity, whereas the effect magnitude diminishes as the distance from the NYMEX increases. In general, this study reveals that air pollution affects investors in the crude oil futures market directly through its physical or cognitive impact.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 6","pages":"1055-1068"},"PeriodicalIF":1.9,"publicationDate":"2024-03-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140171209","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Lever up! An analysis of options trading in leveraged ETFs 杠杆杠杆 ETF 期权交易分析
IF 1.9 4区 经济学
Journal of Futures Markets Pub Date : 2024-03-13 DOI: 10.1002/fut.22502
Collin Gilstrap, Alex Petkevich, Pavel Teterin, Kainan Wang
{"title":"Lever up! An analysis of options trading in leveraged ETFs","authors":"Collin Gilstrap,&nbsp;Alex Petkevich,&nbsp;Pavel Teterin,&nbsp;Kainan Wang","doi":"10.1002/fut.22502","DOIUrl":"10.1002/fut.22502","url":null,"abstract":"<p>We examine options trading in leveraged Exchange-Traded Funds (ETFs) and their impact on the performance of the underlying funds. Using implied volatility innovations in call and put options, we demonstrate that option signals from leveraged ETFs are robust predictors of the underlying ETFs' performance. While both levered and unlevered option signals forecast ETF returns, the levered signal is more pronounced in both magnitude and relevance. This predictivity power primarily stems from inverse leveraged ETFs and during economic downturns. Furthermore, we use the leveraged ETF option signals to develop a trading strategy that produces an average abnormal performance of 1.13% per month.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 6","pages":"986-1002"},"PeriodicalIF":1.9,"publicationDate":"2024-03-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22502","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140156355","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A model-free approximation for barrier options in a general stochastic volatility framework 一般随机波动率框架下障碍期权的无模型近似值
IF 1.9 4区 经济学
Journal of Futures Markets Pub Date : 2024-03-11 DOI: 10.1002/fut.22498
Frido Rolloos, Kenichiro Shiraya
{"title":"A model-free approximation for barrier options in a general stochastic volatility framework","authors":"Frido Rolloos,&nbsp;Kenichiro Shiraya","doi":"10.1002/fut.22498","DOIUrl":"10.1002/fut.22498","url":null,"abstract":"<p>For a general stochastic volatility framework with correlation between the spot price and the instantaneous volatility, an analytical approximation for single barrier options with continuous monitoring is given. The approximation is expressed only in terms of market observable implied volatilities and prices. As such the approximation is independent of the specific form and number of parameters of the skew-generating stochastic volatility model.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 6","pages":"923-935"},"PeriodicalIF":1.9,"publicationDate":"2024-03-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140097971","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
SOFR term structure dynamics—Discontinuous short rates and stochastic volatility forward rates SOFR 期限结构动态--非连续短期利率和随机波动远期利率
IF 1.9 4区 经济学
Journal of Futures Markets Pub Date : 2024-03-11 DOI: 10.1002/fut.22499
Alan Brace, Karol Gellert, Erik Schlögl
{"title":"SOFR term structure dynamics—Discontinuous short rates and stochastic volatility forward rates","authors":"Alan Brace,&nbsp;Karol Gellert,&nbsp;Erik Schlögl","doi":"10.1002/fut.22499","DOIUrl":"10.1002/fut.22499","url":null,"abstract":"<p>The Secured Overnight Funding Rate (SOFR) has become the risk-free rate benchmark in US dollars, thus term structure models should reflect key features exhibited by SOFR and forward rates implied by SOFR futures. We construct a multifactor, stochastic volatility term structure model which incorporates these features. Calibrating to options on SOFR futures, we achieve a reasonable fit to the market across maturities and strikes in a single model. This also provides novel insights into SOFR term rate behavior (and implied volatilities) within their accrual periods, and a model mechanism by which interest rate mean reversion arises from monetary policy.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 6","pages":"936-985"},"PeriodicalIF":1.9,"publicationDate":"2024-03-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22499","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140105285","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Futures trading costs and market microstructure invariance: Identifying bet activity 期货交易成本与市场微观结构不变性：识别投注活动
IF 1.9 4区 经济学
Journal of Futures Markets Pub Date : 2024-03-07 DOI: 10.1002/fut.22496
Ai Jun Hou, Lars L. Nordén, Caihong Xu
{"title":"Futures trading costs and market microstructure invariance: Identifying bet activity","authors":"Ai Jun Hou,&nbsp;Lars L. Nordén,&nbsp;Caihong Xu","doi":"10.1002/fut.22496","DOIUrl":"10.1002/fut.22496","url":null,"abstract":"<p>Market microstructure invariance (MMI) stipulates that trading costs of financial assets are driven by the volume and volatility of bets, but these variables are inherently difficult to identify. With futures transactions data, we estimate bet volume as the trading volume of brokerage firms that trade on behalf of their clients and bet volatility as the trade-related component of futures volatility. We find that the futures bid–ask spread lines up with bet volume and bet volatility as predicted by MMI, and that intermediation by high-frequency traders does not interfere with the MMI relation.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 6","pages":"901-922"},"PeriodicalIF":1.9,"publicationDate":"2024-03-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22496","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140073937","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A deep learning-based financial hedging approach for the effective management of commodity risks 基于深度学习的金融对冲方法，用于有效管理商品风险
IF 1.9 4区 经济学
Journal of Futures Markets Pub Date : 2024-03-05 DOI: 10.1002/fut.22497
Yan Hu, Jian Ni
{"title":"A deep learning-based financial hedging approach for the effective management of commodity risks","authors":"Yan Hu,&nbsp;Jian Ni","doi":"10.1002/fut.22497","DOIUrl":"10.1002/fut.22497","url":null,"abstract":"<p>The development of deep learning technique has granted firms with new opportunities to substantially improve their risk management strategies for sustainable growth. This paper introduces a novel deep learning-based financial hedging (DL-HE) strategy to leverage the salient ability of deep learning in extracting nonlinear features from complex high dimensional data, thus boosting the management of inventory risks arising from erratic commodity prices. Using real-world data, we find that the average annualized economic benefit of the proposed strategy is at least 1.21 million CNY for a typical aluminum firm carrying an average level of inventory in China, as compared with those of the traditional hedging strategies. Further analysis reveals that such an economic benefit can largely be explained by the efficacy of the proposed DL-HE strategy in terms of significantly improving return while still effectively controlling risk. Moreover, the superior of this strategy remains robust when extending to copper and zinc.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 6","pages":"879-900"},"PeriodicalIF":1.9,"publicationDate":"2024-03-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140079110","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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