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8

Interesting question. Unfortunately for you, the answer is no, it cannot be done. The principal difference between a basket of options and an option on the basket (or index) is correlation risk. In fact, there is a systematic difference between the implied volatility of the basket and the (properly weighted) sum of implied volatilities on the components. ...


5

The delta factor you seek is the spot to futures price ratio without having to use all those parameters. Now to answer your actual question: Since you are getting futures data, you presumably have the tickers. You can infer the expiration date from the ticker. Expiration dates are always on the third Friday of the month, and the ticker contains four ...


5

S&P finally did respond to our query with a 100 page document. The part relevant to this question follow: Select Sector Index Calculations With the exception of the weighting constraints described above, each Select Sector Index is calculated using the same methodology utilized by S&P in calculating the S&P 500. In particular: ...


4

Options on almost all Korean equities today present flat implied volatility, as well as options on some Japanese equities, especially in 60-90 days maturity. Here how the smile looks for T&D Holdings (ISIN:JP3539220008):


4

The first principal component of a large covariance matrix is extremely expensive to replicate in a real portfolio. While it is true principal components provide true (ex post) orthogonal factors, this is not necessarily relevant to the business of risk management. The market index is what most investors are benchmarked by, and is furthermore often ...


4

a) because it does not matter how you weigh each constituents as long as the methodology is publicly accessible and as long as it more or less reflects the original intent. That is why there are market cap weighted indexes but also why there are indexes that apply different weighting methodologies. b) because PCA is computationally way more expensive. Why ...


3

Here couple ETFs that may satisfy what you are looking for: http://www.quant-shares.com/etf-list/ http://www.etc.db.com/GBR/ENG/Institutional/Downloads/ISIN/Factsheets/GB00B4N0QN94 http://guggenheiminvestments.com/products/etf/wmcr http://etfdb.com/type/investment-style/high-beta/ Those include ETFs with a momentum approach, mean-reversion approach, ...


3

I think the simple advice here is to keep the indexes unchanged from the previous closing day (you basically assume unchanged prices). A bad idea is to compute essentially a "new" index in that you drop out the index which does not trade and recalculate the denominator. It will greatly skew the results, bad thing to do. A better idea would be not only ...


3

The volume reported for the DJIA is the sum of the volumes (in shares) of the individual components, including trades executed on their respective primary markets only. For the 23rd of August, it looks like: Ticker Exchange Shares Traded MMM New York 496,789 AA New York 2,400,280 AXP New York 613,379 T New York ...


3

Stoxxe would be the benchmark for European stocks in Eur Different. Data providers are using different symbols. Sx5e biggest 50 European Eur stocks Sx5p biggest 50 pan European stocks Sxxp biggest 60@ pan euro stocks - 200 large cap 200 mid cap and 200 small caps Sxxe would be all Eur stocks put of the sxxp - around 380 names


2

Is it possible to replicate the option of a custom index? Yes and you can find OTC market-makers who will make a price. They use portfolio replication to mimic the payoff of the option with a position in the underlying (Black-Scholes, '73). Even though the underlying custom index is not traded it can be perfectly constructed via its traded constituents. So ...


2

The SPX's price is a composite of all of its constituents' prices based upon the S&P 500's weightings. Dividends are accounted for by the index but not in the price, and nothing about their subsequent investment is assumed, nor does anyone who publishes the price portion report the dividend portion as far as I've seen, but there is an S&P 500 ...


2

You need to read up on how the FTSE is calculated. See this link: http://www.ftse.com/Indices/UK_Indices/Downloads/uk_calculation.pdf. It involves the market value of companies, not simply a weighted price average. There is a detailed example in the document I linked, which happens to be the very first Google result for "ftse index calculation".


2

You first need to understand how the index values are computed. Is the index market cap weighted, equally weighted,...depending on that you pick a sub set that replicates the properties of the index by weighting the following properties (not an exhaustive list but I hope a starting point): large vs small market cap names high vs low beta names high vs low ...


1

The best approximation of EUR/USD crossrate is probably Deutsche Mark - USD. However you need to be careful for the period around the creation of the Euro: due to the exchange rate mechanism European currency rates aren't really fully market-based. I assume you are aware of the Bretton woods system so won't talk about caveats in using currency data too far ...


1

What is the aim of your calculation - rather risk analyis or performance comparison? In either case an easy and valid approach would be to replace missing values with the most recent nonmissing. In R na.locf from the package zoo does this.


1

Just couple points to ponder about: Weighting schemes are not a magic bullet and none of them in isolation will give you higher predictive power (aka. edge). Do not rely on how you weigh components. Why would you want to be highly correlated with VIX? Its a poorly constructed index and I find the whole rational behind the implementation details quite ...


1

It really depends on the source of your signal. Since you're trading options I assume it is either volatility signal, or volatility + basis signal. If you have signal only on basis don't bother with options and just trade underlying. Now if you are trading vol signal only, you will need to hedge all basis risk - so gamma hedge (dynamic hedging with ...


1

The negative slope is not just because people think there is going to be a crash, it is also just function of supply and demand on options: Many investors want to buy protection on their portfolio, and there is no natural seller so it's the speculator who end up taking that side of the bet, but obviously only if there is a sufficient premium with low ...


1

Not sure this helps, but visit: http://delayedquotes.cboe.com/new/options/options_chain.html?symbol=SPX&ID_NOTATION=8941848&ID_OSI=10614550&ASSET_CLASS=IND and click on any option to see its Greeks.



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