Impacts of Implied Volatility and Volatility Skew on KOSPI200 Jump

• 발행기관: 한국자료분석학회
• 저자명: Tae Hyuk Kim
• 간행물 정보: 『Journal of The Korean Data Analysis Society (JKDAS)』Vol.14 No.6, 2897~2910쪽, 전체 14쪽
• 주제분류: 자연과학 > 통계학
• 파일형태: PDF
• 발행일자: 2012.12.30

영문 초록

In this paper, we attempt to investigate the information contents of option implied volatility and volatility skews by using minute by minute data. Especially in the case of big market movement (negative or positive jump), we try to test whether option’s implied volatility and change in volatility skew provide any predictive power for the return on KOSPI200. The major findings are summarized as follows; First, DOTM options contain better information content than options in other moneyness category. Second, DOTM volatility skew of put option provides most valuable information for the future downside market movement. Call option’s volatility skews can not provides valuable information for the future downside market movement. Thus we contend that during the strong negative jump period, volatility of put DOTM and DDOTM can be regarded as ‘fear gauge’. Third, DOTM volatility skew of call option provides most valuable information for the future upside market movement. Thus we contend that during the strong positive jump period, volatility of call DOTM and DDOTM can be regarded as ‘jump-up gauge’.

목차

1. Introduction

2. Data

3. Methodology

4. Empirical results

5. Summary and conclusion

References

키워드

Return jump Implied volatility Volatility skew Fear gauge Jump-up gauge