Information Content of Iron Butterfly Arbitrage Bounds
Description:
Informed traders trade options on underlying securities to lower transaction costs and increase financial leverage for price trend and variance strategies. Options markets play a significant role in price discovery by incorporating private information about future prices for an underlying security into option prices. I generate a new model-free volatility measure to calculate the "distance from arbitrage bounds" from minute-by-minute option series for the S&P 500 index and 30 individual underly…
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Date:
December 2016
Creator:
Kochan, Mucahit
Partner:
UNT Libraries