Implied volatility and contagion in the options market

Among options traders, implied volatility is regarded as one of the most important variables for determining profitability in options trading. Implied volatility implies the future underlying stock volatility, and whilst it cannot predict market direction, it can forecast the stock’s potential for l...

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Main Authors:	Prima Sakti, Muhammad Rizky, Mohamad, Azhar
Format:	Conference or Workshop Item
Language:	English English
Published:	2014
Subjects:	HG4501 Stocks, investment, speculation
Online Access:	http://irep.iium.edu.my/41306/ http://irep.iium.edu.my/41306/1/Implied_Volatility_and_Contagion_Istanbul.pdf http://irep.iium.edu.my/41306/2/Ibesra_Istanbul_Certificate.jpg

id	iium-41306
recordtype	eprints
spelling	iium-413062015-02-16T03:37:27Z http://irep.iium.edu.my/41306/ Implied volatility and contagion in the options market Prima Sakti, Muhammad Rizky Mohamad, Azhar HG4501 Stocks, investment, speculation Among options traders, implied volatility is regarded as one of the most important variables for determining profitability in options trading. Implied volatility implies the future underlying stock volatility, and whilst it cannot predict market direction, it can forecast the stock’s potential for large fluctuations in the future. Once the implied volatility has been calculated, the traders can estimate how high or low the stock might swing by the option’s expiration and this estimation helps traders to make informed trading decisions. In this paper, we examine the information content of the implied volatility of call options in the Malaysian stock market. We use a daily dataset for 100 trading days for a period between November 2013 and February 2014. Our findings suggest that, for the Malaysian market, although implied volatility does contain some relevant information about future volatility, it is a less accurate predictor than historical volatility. 2014 Conference or Workshop Item PeerReviewed application/pdf en http://irep.iium.edu.my/41306/1/Implied_Volatility_and_Contagion_Istanbul.pdf application/pdf en http://irep.iium.edu.my/41306/2/Ibesra_Istanbul_Certificate.jpg Prima Sakti, Muhammad Rizky and Mohamad, Azhar (2014) Implied volatility and contagion in the options market. In: International Business Economics Social Sciences Research Association (IBESRA) Istanbul Conference, Turkey, 29-30 December 2014, Istanbul, Turkey. (Unpublished)
repository_type	Digital Repository
institution_category	Local University
institution	International Islamic University Malaysia
building	IIUM Repository
collection	Online Access
language	English English
topic	HG4501 Stocks, investment, speculation
spellingShingle	HG4501 Stocks, investment, speculation Prima Sakti, Muhammad Rizky Mohamad, Azhar Implied volatility and contagion in the options market
description	Among options traders, implied volatility is regarded as one of the most important variables for determining profitability in options trading. Implied volatility implies the future underlying stock volatility, and whilst it cannot predict market direction, it can forecast the stock’s potential for large fluctuations in the future. Once the implied volatility has been calculated, the traders can estimate how high or low the stock might swing by the option’s expiration and this estimation helps traders to make informed trading decisions. In this paper, we examine the information content of the implied volatility of call options in the Malaysian stock market. We use a daily dataset for 100 trading days for a period between November 2013 and February 2014. Our findings suggest that, for the Malaysian market, although implied volatility does contain some relevant information about future volatility, it is a less accurate predictor than historical volatility.
format	Conference or Workshop Item
author	Prima Sakti, Muhammad Rizky Mohamad, Azhar
author_facet	Prima Sakti, Muhammad Rizky Mohamad, Azhar
author_sort	Prima Sakti, Muhammad Rizky
title	Implied volatility and contagion in the options market
title_short	Implied volatility and contagion in the options market
title_full	Implied volatility and contagion in the options market
title_fullStr	Implied volatility and contagion in the options market
title_full_unstemmed	Implied volatility and contagion in the options market
title_sort	implied volatility and contagion in the options market
publishDate	2014
url	http://irep.iium.edu.my/41306/ http://irep.iium.edu.my/41306/1/Implied_Volatility_and_Contagion_Istanbul.pdf http://irep.iium.edu.my/41306/2/Ibesra_Istanbul_Certificate.jpg
first_indexed	2023-09-18T20:59:11Z
last_indexed	2023-09-18T20:59:11Z
_version_	1777410507883413504

Implied volatility and contagion in the options market

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