单个股票波动的机会递减

POL: Resource Financing Strategies (Topic) Pub Date : 2011-07-14 DOI:10.2139/ssrn.2091865

Lars N. Kestner

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摘要

有证据表明，自2009年以来，单股期权的波动性套利机会一直在稳步缩小，近期与公允价值的偏差小于危机前的2005-2007年。使用一个简单但有效的指标来确定与公允价值的偏差，我们看到，平均而言，相对隐含波动率的交易范围比2000年代中期更窄。

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Diminishing Opportunities in Single Stock Volatility

There is evidence that the opportunities for volatility arbitrage in single stock options have been steadily shrinking since 2009 and recent deviations from fair value are smaller than the pre-crisis 2005-2007 period. Using a simple but effective metric for determining deviation from fair value, we see that, on average, relative implied volatilities are trading in tighter ranges than during the mid 2000s.

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POL: Resource Financing Strategies (Topic)

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