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Credit risk in derivative securities: A simplified approach Journal of Futures Markets (IF 1.359) Pub Date : 2021-02-01 Rainer Baule
The pricing of options and other derivatives which are subject to the default risk of the writer usually requires the calibration of a sophisticated model and substantial effort in determining the input parameters. We propose a very simple method to incorporate correlated credit risk into the pricing of vulnerable derivatives. The approach is based upon some approximations of more complex models and
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Smile‐implied hedging with volatility risk Journal of Futures Markets (IF 1.359) Pub Date : 2021-03-26 Pascal François, Lars Stentoft
Options can be dynamically replicated using model‐free Greeks extracted from the volatility smile. However, smile‐implied delta and delta–gamma hedging do not achieve minimum variance in the presence of price–volatility correlation, and these strategies have shown poor performance relative to the Black–Scholes (BS) benchmark. We propose a way to extend smile‐implied option replication with volatility
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Time‐varying dynamics of expected shortfall in commodity futures markets Journal of Futures Markets (IF 1.359) Pub Date : 2021-03-26 Julia S. Mehlitz, Benjamin R. Auer
Motivated by the growing interest of investors in commodities and by advances in risk measurement, we present a full‐scale analysis of expected shortfall (ES) in commodity futures markets. Besides illustrating the dynamics of historic ES, we evaluate whether popular estimators are suitable for forecasting future ES. By implementing a new backtest, we find that the performance of estimators hinges on
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Off‐market block trades: New evidence on transparency and information efficiency Journal of Futures Markets (IF 1.359) Pub Date : 2021-03-13 Alex Frino
This paper examines the price impact of off‐market block trades in futures markets. Consistent with previous literature based on stock markets, a statistically significant price reaction is documented around the time that the trades are executed. This paper extends previous work by documenting a further statistically significant price reaction at the time that block trades are later reported. Contrary
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Erratum to “An analytical perturbative solution to the Merton Garman model using symmetries” Journal of Futures Markets (IF 1.359) Pub Date : 2021-02-08 Xavier Calmet, Nathaniel Wiesendanger Shaw
We correct a mistake in Journal of Futures Markets 40(1):3–22. None of our results or conclusions is significantly affected. There is a factor 1/2 missing in the penultimate term of Equation (4) which should read ∂ C ∂ t + r S ∂ C ∂ S + 1 2 V S 2 ∂ 2 C ∂ S 2 + ( λ + μ V ) ∂ C ∂ V + ρ ξ V 1 ∕ 2 + α S ∂ 2 C ∂ S ∂ V + 1 2 ξ 2 V 2 α ∂ 2 C ∂ V 2 − r C = 0 . This mistake propagates throughout the paper.
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New evidence on commodity stocks Journal of Futures Markets (IF 1.359) Pub Date : 2021-03-13 Charoula Daskalaki
This paper investigates whether commodity‐related equities (commodity stocks) should be included in investors' portfolios. In light of the recent financialization of commodity futures markets, it examines the diversification benefits derived from investing in commodity stocks and compares them with those derived from commodity futures. The empirical evidence indicates that over the prefinancialization
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Pricing VIX options with realized volatility Journal of Futures Markets (IF 1.359) Pub Date : 2021-03-13 Chen Tong, Zhuo Huang
We investigate the role of realized volatility in pricing VIX options by using the generalized affine realized volatility (GARV) model, and the Realized generalized autoregressive conditionally heteroscedastic (GARCH) model. We develop a closed‐form pricing formula for the (affine) GARV model. For the (nonaffine) log‐linear Realized GARCH model, we introduce a novel approximation approach to derive
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When it pays to follow the crowd: Strategy conformity and CTA performance Journal of Futures Markets (IF 1.359) Pub Date : 2021-03-13 Nicolas P. B. Bollen, Mark C. Hutchinson, John O'Brien
Prior research in hedge fund and mutual fund management finds a positive relation between portfolio distinctiveness and subsequent performance, suggesting that strategy differentiation is associated with superior skill. We find that commodity trading advisors (CTAs) with returns that correlate more strongly with those of peers feature higher performance and are more highly exposed to a time series
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Intermediary asset pricing in currency carry trade returns Journal of Futures Markets (IF 1.359) Pub Date : 2021-03-01 Libo Yin, Jing Nie
This paper examines how intermediary capital risk (ICR) is priced in currency carry trades. In both in‐sample and out‐of‐sample settings, ICR holds strong explanatory power for time‐series currency returns. ICR is also a key driver of currency returns with a positive risk price in the cross section, suggesting that financial intermediaries are marginal investors in currency markets. We find an asymmetric
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Intermediary capital risk and commodity futures volatility Journal of Futures Markets (IF 1.359) Pub Date : 2021-01-19 Libo Yin, Jing Nie, Liyan Han
This paper explores the degree and structure of the dependence of commodity futures volatility on intermediary capital risk (ICR) and investigates the economic source of this association. The overall effect of ICR is negative and more significant for the post‐2008 period, although positive and negative ICR play asymmetric roles. Furthermore, we identify a heterogeneous structure of dependence across
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Determinants of the WTI‐Brent price spread revisited Journal of Futures Markets (IF 1.359) Pub Date : 2021-01-19 Jerome Geyer‐Klingeberg, Andreas W. Rathgeber
Using autoregressive distributed lag modeling and structural break testing, we explore the drivers of the oil price spread between West Texas Intermediate and Brent in a data set from 1995 to 2019. We find a major structural break in December 2010 and minor breaks in 2005 and 2012. Important spread determinants are the convenience yield, as a proxy for crude oil inventories, the trading activity in
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On the computation of hedging strategies in affine GARCH models Journal of Futures Markets (IF 1.359) Pub Date : 2021-01-19 Maciej Augustyniak, Alexandru Badescu
This paper discusses the computation of hedging strategies under affine Gaussian GARCH dynamics. The risk‐minimization hedging strategy is derived in closed‐form and related to minimum variance delta hedging. Several numerical experiments are conducted to investigate the accuracy and properties of the proposed hedging formula, as well as the convergence to its continuous‐time counterpart based on the
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Disproportionate costs of uncertainty: Small bank hedging and Dodd‐Frank Journal of Futures Markets (IF 1.359) Pub Date : 2021-01-19 Raymond Kim
Uncertainty in banking regulation may impose widespread economic costs by increasing financial constraints on credit availability. Four years of Dodd‐Frank uncertainty over undecided risk weightings increased regulatory uncertainty for smaller banks, restricting “vanilla” interest rate hedging activities. This paper uses newly reported mortgage banking data as an identification strategy and finds that
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Consistent and efficient pricing of SPX and VIX options under multiscale stochastic volatility Journal of Futures Markets (IF 1.359) Pub Date : 2021-01-19 Jaegi Jeon, Geonwoo Kim, Jeonggyu Huh
We provide consistent and efficient pricing for both Standard & Poor's 500 Index options and the Chicago Board Options Exchange's Volatility Index options under a multiscale stochastic volatility model. To capture the multiscale, our model adds a fast scale factor to Heston's volatility and we derive approximate analytic formulas for the options under the model. The analytic tractability can greatly
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Informed options trading around holidays Journal of Futures Markets (IF 1.359) Pub Date : 2021-01-19 Doojin Ryu, Jinyoung Yu
We use a high‐quality microstructure data set of KOSPI 200 index options to examine the patterns of informed options trading around holidays, depending on options market characteristics. The information content of options trading increases around holidays, and this holiday effect is pronounced for out‐of‐the‐money calls and at‐the‐money puts. Informed large trades reinforce the holiday effects for
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Volatility‐managed commodity futures portfolios Journal of Futures Markets (IF 1.359) Pub Date : 2020-11-10 Jangkoo Kang, Kyung Yoon Kwon
This paper examines whether the volatility management suggested by Moreira and Muir to improve profitability in the equity market can generate significant benefits both in‐sample and out‐of‐sample in commodity futures markets as well. The in‐sample results show the significant success of volatility management from the 12‐month momentum and market portfolio, but the out‐of‐sample results show that volatility
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Information transmission under increasing political tensions—Evidence from the Berlin Produce Exchange 1887–1896 Journal of Futures Markets (IF 1.359) Pub Date : 2020-11-10 Martin T. Bohl, Alexander Pütz, Pierre L. Siklos, Christoph Sulewski
This article studies the effects of increasing political uncertainty on the functioning of German futures markets. We examine a unique event, namely the discussions around and the final coming into force of the German Exchange Act of 1896. Using static and time‐varying vector error correction models, the empirical analysis shows that, although early futures markets exhibit a high degree of operational
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Optimal portfolio allocation using option‐implied information Journal of Futures Markets (IF 1.359) Pub Date : 2020-12-01 Maria Kyriacou, Jose Olmo, Marius Strittmatter
This paper explores option‐implied information measures for optimal portfolio allocation. We introduce two state variables constructed from option prices. The first state variable is the risk‐premium on the risky asset and the second variable is the market price of risk. We also explore a lognormal distribution, a mixture of lognormal distributions, and a binomial tree for constructing the implied
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The relationship between arbitrage in futures and spot markets and Bitcoin price movements: Evidence from the Bitcoin markets Journal of Futures Markets (IF 1.359) Pub Date : 2020-12-01 Takahiro Hattori, Ryo Ishida
We examine how investors arbitrage the Bitcoin spot and futures markets. Using intraday data of the Chicago Board Options Exchange, we reconstruct the actual arbitrage condition that investors confront. We find that there are few arbitrage profit opportunities in “normal” markets, but large arbitrage profit opportunities arise during Bitcoin market “crashes.”
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The term structure of the VXX option smirk: Pricing VXX option with a two‐factor model and asymmetry jumps Journal of Futures Markets (IF 1.359) Pub Date : 2020-12-28 Xiaoyu Tan, Chengxiang Wang, Wei Lin, Jin E. Zhang, Shenghong Li, Xuejun Zhao, Zili Zhang
This paper proposes a comprehensive jump‐to‐default extended two‐factor stochastic volatility plus asymmetry jumps model for the valuation of VXX derivatives. The model provides a more flexible modeling of the time variation in VXX options smirk and VXX options volatility term structure compared with previous model alternatives. Empirical results indicate that our model outperforms Bao et al.'s model
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A short cut: Directly pricing VIX futures with discrete‐time long memory model and asymmetric jumps Journal of Futures Markets (IF 1.359) Pub Date : 2020-12-28 Fangsheng Yin, Yang Bian, Tianyi Wang
This paper proposes a simple but rich framework to directly price volatility index (VIX) futures by applying the heterogeneous autoregressive structure and asymmetric jumps to the logarithm of the VIX. Compared with other discrete‐time models, our model imposes fewer parameter constraints. The analytical solution is also free from time‐consuming and sometimes unstable numerical integration. Empirical
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Quantile information share under Markov regime‐switching Journal of Futures Markets (IF 1.359) Pub Date : 2020-12-17 Donald Lien, Ziling Wang, Xiaojian Yu
This paper introduces a new quantile information share (QIS) method by extending the conventional QIS to Markov regime‐switching models. For most commodities in the full sample, our results show that the relationship among the spot QIS, the spot return quantile, and the futures return quantile is displayed by a saddle surface or a half saddle surface. The information share (IS) of the futures markets
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American option pricing: Optimal Lattice models and multidimensional efficiency tests Journal of Futures Markets (IF 1.359) Pub Date : 2020-12-01 Qianru Shang, Brian Byrne
We introduce a set of lattice techniques to the Leisen‐Reimer and Tian binomial models with a view to accelerating computation time and improving accuracy of American Option valuation. A level of accuracy and efficiency combined can be achieved that surpass commonly used analytical analogues. We compare these efficient lattice models with analytical formulae for pricing different groups of options
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Estimation of stochastic volatility and option prices Journal of Futures Markets (IF 1.359) Pub Date : 2020-11-10 Suk Joon Byun, Jung‐Soon Hyun, Woon Jun Sung
This study suggests a method to estimate a stochastic volatility model incorporating both information on high/low prices and the leverage effect. The likelihood‐based inference of Markov Chain Monte Carlo is conducted to estimate parameters and volatility. Simulation reveals that our method improves estimation and pricing options. We also find that the information on high/low prices is more likely
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Derivatives use and the value of cash holdings: Evidence from the U.S. oil and gas industry Journal of Futures Markets (IF 1.359) Pub Date : 2020-11-10 Sanghak Choi, Hyeonung Jang, Daejin Kim, Byoung Ki Seo
We examine the effect of the oil and gas firms' use of derivatives for hedging risks on the marginal value of cash holdings. Analyzing 155 U.S. oil and gas producers from 1998 to 2017, we find that the use of derivatives for hedging risks, especially oil and gas‐related risk, reduces the marginal value of corporate cash holdings. Furthermore, the effect of using derivatives is stronger for firms exposed
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The traders' rule and long‐term options Journal of Futures Markets (IF 1.359) Pub Date : 2020-11-10 Sol Kim, In Jung Song
Studies show that option traders prefer using the traders' rule to price short‐term options over more mathematically sophisticated models. This study uses Standard & Poor's 500 index option data to determine whether the traders' rule also outperforms mathematically more sophisticated models in pricing long‐term options. The results show that, while the traders' rule still enjoys smaller pricing errors
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Hedging operating and financing risk with financial derivatives during the global financial crisis Journal of Futures Markets (IF 1.359) Pub Date : 2020-11-10 Sung C. Bae, Taek Ho Kwon
We investigate whether firms properly protect values from sudden exchange rate changes using financial derivatives. Sampling Korean firms, we compare firms experiencing significant changes in exchange rate exposures to firms experiencing no such changes surrounding the global financial crisis. We find that the former outnumbers the latter, uses more derivatives for hedging, and has lower firm values
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Volatility‐of‐volatility risk in the crude oil market Journal of Futures Markets (IF 1.359) Pub Date : 2020-10-10 Tai‐Yong Roh, Alireza Tourani‐Rad, Yahua Xu, Yang Zhao
This paper examines the role of oil volatility‐of‐volatility (VOV) risk under a stochastic VOV framework. We show that oil VOV is a significant pricing factor in the cross‐sectional delta‐hedged gains constructed from oil options, and oil VOV also has predictive power for near‐term delta‐hedged option gains. Moreover, we show that the information contained in oil VOV is highly specific compared to
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The implied volatility smirk of commodity options Journal of Futures Markets (IF 1.359) Pub Date : 2020-10-09 Xiaolan Jia, Xinfeng Ruan, Jin E. Zhang
This paper studies the implied volatility (IV) smirks in four commodity markets by adopting Zhang and Xiang's methodology. First, we document the term structure and dynamics of IV smirks. Overall, the commodity IV curves are negatively skewed with a positive curvature. Then we analyze the commodity and S&P 500 returns' predictability based on in‐sample and out‐of‐sample tests and find that the information
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Impact of bitcoin futures on the informational efficiency of bitcoin spot market Journal of Futures Markets (IF 1.359) Pub Date : 2020-10-08 Andrei Shynkevich
This study examines the informational efficiency of the bitcoin spot market by evaluating the predictive power of mechanical trading rules designed to exploit price continuation. Significant return predictability is found until the introduction of bitcoin futures in December 2017. The forecasting ability of trend‐chasing trading rules declines dramatically afterwards. Although evidence suggests that
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Bitcoin spot and futures market microstructure Journal of Futures Markets (IF 1.359) Pub Date : 2020-10-08 Saketh Aleti, Bruce Mizrach
We study Bitcoin (BTC) trading at the Chicago Mercantile Exchange (CME) and four settlement spot exchanges that transact $146 million per day in the BTC/USD pair. Spot market median trade sizes are under $1,300 but exceed $18,000 on the CME. Bid‐ask spreads average 0.0298%. Trade sizes of over $1 million move markets by less than 1%. 2.5% of trades and 15.5% of cancellations on Coinbase take place
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The impact of net buying pressure on index options prices Journal of Futures Markets (IF 1.359) Pub Date : 2020-09-01 Doojin Ryu, Doowon Ryu, Heejin Yang
This study examines whether the demand for options, as measured by the net buying pressure of index options, explains the implied volatility structure created by options prices. We decompose the buying pressure into the direction‐motivated (i.e., delta‐informed) and the volatility‐motivated (i.e., vega‐informed) demand for options. After controlling for options traders' hedging demand, we find that
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