The index tag has no wiki summary.
11
votes
2answers
409 views
Can you replicate an option on an arbitrary basket of stocks?
Since a market index is nothing more than a basket of stocks, you can create your own index by putting together stocks of your choice. The only difference is that you can trade options on major ...
10
votes
2answers
779 views
Where to find Greeks for futures to form delta-hedged futures portfolio of S&P 500 index/futures
I can't find S&P 500 index (SPX) futures data with Greeks to create delta-hedged portfolios. Do these data exist? I have access to most of the common data sources.
In the meantime, I am trying to ...
5
votes
0answers
177 views
generating (or tracking) the DJUBS commodity index
Dow Jones and UBS publish one of the most popular commodity index families, the Dow Jones-UBS Commodity Index and its subindices. They provide a detailed manual describing the composition of the index ...
4
votes
2answers
384 views
S&P 500 list of stocks since 1960
I am looking for the S&P 500 index list of stocks for each day since January 1, 1960. Does anyone know where I can find these lists?
4
votes
2answers
154 views
Indexes/stocks with flat implied volatilities
After the 1987 crash, the S&P500 index implied volatility changed from nearly flat to negatively sloped. According to Rubinstein the Black-Scholes model was not so wrong when applied to the ...
4
votes
1answer
447 views
SP500 sector weights - how do they change?
The weights of the nine S&P equity sector indexes vary over time. One can find measures of them in a number of different formats:
S&P 500 Sector SPDRs - historical sector weights
Here's ...
3
votes
2answers
177 views
Why use market capitalization weighted index over PCA?
Why is it so popular to use market capitalization weighted indices instead of taking the first principle component that explains the most variation of the constituents? I haven't yet seen an academic ...
3
votes
2answers
55 views
Imputed values in a multi-index
I have an equal-weighted index on a number of different Indices (from US, Europe and Asian markets). This compound index is constructed from a time series that has missing values (for example, those ...
3
votes
1answer
130 views
Examples of investable factors via factor funds/ETFs
In the draft chapter about hedge funds of his forthcoming book Andrew Ang postulates the dawn of new factor funds (p. 35 ff.), i.e. funds that directly target factors like volatility, value-growth, ...
3
votes
2answers
766 views
Pair Trading Index Options
Suppose the trade is between Index Options of two Indices X and Y which are quite similar (but not exactly).
So for the equivalent strikes, one can quote option on Index X and cover in Index Y.
But ...
2
votes
1answer
166 views
Average beta of index consitutents w.r.t. the index is 0.60
I have 1 year time series data of 300 constituents of the Australian All Ordinaries index (which is composed of 491 firms). The missing firms are mostly smaller firms.
I run the market model $R_{it} ...
1
vote
1answer
525 views
What is the difference between STOXX and STOXXE?
Could anyone explain the difference between STOXX and STOXXE? Which is the right index for benchmarking European stocks?
Thanks.
0
votes
1answer
52 views
Volatility Index Weighting Scheme
Among the several weighting schemes used for constructing volatility indices, which ones are the best for forecasting (realized) volatility? I've constructed a volatility index for emerging markets ...
