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The impacts of Volatility Spread and Timing on writing non-directional options strategies |
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| รหัสดีโอไอ | |
| Title | The impacts of Volatility Spread and Timing on writing non-directional options strategies |
| Creator | Thapanon Rungwittayatiwat |
| Contributor | Sira Suchintabandid |
| Publisher | Chulalongkorn University |
| Publication Year | 2562 |
| Keyword | Options (Finance) |
| Abstract | The study examines the impacts of volatility spread and time-to-maturity on the returns of writing non-directional options strategies on SET50 index options in Thailand Futures Exchange. The study allows to use over-lapping data for the periods of 1-month, 2-month and 3-month maturities to test with the same expiration date to examine the impacts of time-to-maturity. Also, this paper adds the data of in-the-money and out-of-the-money by 25 points and 50 points call and put options to build strangle in various moneyness to find the difference of the impact of volatility spread and time-to-maturity from various moneyness. |
| URL Website | cuir.car.chula.ac.th |
