关于新冠肺炎,指数选项教会了我们什么?

IF 2.2 Q2 BUSINESS, FINANCE
J. Jackwerth
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引用次数: 31

摘要

标准普尔500指数的风险中性分布提供了关于COVID-19大流行的信息,而不仅仅是从指数值和市场恐惧指标VIX中获得的信息。我们了解到,在2020年2月20日,该指数尚未反映出即将到来的危机。直到2020年3月16日,全面的影响才显现出来,长期期权的明显双峰性揭示了一个相当大的崩盘情景。相应的物理分布更加对称,并具有高波动性的崩溃场景。公司在指数暴跌之前购买了崩盘保护,而零售客户则在指数已经开始回升时购买。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
What Do Index Options Teach Us About COVID-19?
Abstract Risk-neutral distributions of the S&P 500 are informative about the COVID-19 pandemic beyond what one can learn from index values and the market fear gauge of the VIX alone. We learn that, on February 20, 2020, the index did not yet reflect the impending crisis. Only on March 16, 2020, was the full impact visible, with a pronounced bimodality for longer-maturity options revealing a sizeable crash scenario. The corresponding physical distribution is more symmetric and features a high-volatility crash scenario. Firms bought crash protection ahead of the index crash, whereas retail customers bought it as the index was already recovering.
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来源期刊
Review of Asset Pricing Studies
Review of Asset Pricing Studies BUSINESS, FINANCE-
CiteScore
19.80
自引率
0.80%
发文量
17
期刊介绍: The Review of Asset Pricing Studies (RAPS) is a journal that aims to publish high-quality research in asset pricing. It evaluates papers based on their original contribution to the understanding of asset pricing. The topics covered in RAPS include theoretical and empirical models of asset prices and returns, empirical methodology, macro-finance, financial institutions and asset prices, information and liquidity in asset markets, behavioral investment studies, asset market structure and microstructure, risk analysis, hedge funds, mutual funds, alternative investments, and other related topics. Manuscripts submitted to RAPS must be exclusive to the journal and should not have been previously published. Starting in 2020, RAPS will publish three issues per year, owing to an increasing number of high-quality submissions. The journal is indexed in EconLit, Emerging Sources Citation IndexTM, RePEc (Research Papers in Economics), and Scopus.
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