옵션 내재 변동성곡선의 정보효과와 금융 유통산업에의 시사점

• 영문명: Information in the Implied Volatility Curve of Option Prices and Implications for Financial Distribution Industry
• 발행기관: 한국유통과학회
• 저자명: Sang-Su Kim(김상수) Won-Suk Liu(유원석) Sam-Ho Son(손삼호)
• 간행물 정보: 『유통과학연구(JDS)』제13권 제5호, 53~60쪽, 전체 8쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2015.05.30

영문 초록

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 in

목차

1. 서론

2. 자료 특성 및 분석 방법론

3. 연구결과 : 변동성 곡선(curve)의 특성

4. 연구 결과 토론 및 시사점

References

키워드

KOSPI 200 Index Options Implied Volatility Slope Curvature Seemingly Unrelated Regression(SUR) Financial Distribution Industry