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Publicação
Dispersion trading on the s&p100
| Nome: | Descrição: | Tamanho: | Formato: | |
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| 1.35 MB | Adobe PDF |
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Orientador(es)
Resumo(s)
This study provides an empirical analysis back-testing a dispersion trading strategy to verify its
performance. Dispersion trading is an arbitrage trading technique exploiting the difference
between option prices of the index and its constituents. Price discrepancies are traced from
literature to the correlation risk premium and net buying pressure of puts of the index. The
strategy tends to outperform the general market. Cumulative returns of the strategy have beaten
the Vanguard Total Market Index ETF, providing risk-adjusted returns in alpha and small beta
indicating a strategy that is prone to systematic market risks.
Descrição
Palavras-chave
Options Implied volatility Implied correlation Market making Dispersion trading Market inefficiency