Timeline for Does fear or greed drive option prices?
Current License: CC BY-SA 4.0
6 events
| when toggle format | what | by | license | comment | |
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| Dec 8 at 1:45 | history | edited | AKdemy |
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| May 5, 2021 at 18:22 | answer | added | Kermittfrog | timeline score: 6 | |
| May 4, 2021 at 22:33 | answer | added | AKdemy | timeline score: 1 | |
| May 4, 2021 at 22:22 | comment | added | nbbo2 | In the stk market there is a negative correlation between price changes and implied vol changes (sometimes called "the leverage effect"). So more VIX increases take place against a background of a falling stock market than a rising stock market. For ex. in 2021 ytd the VIX increased on 35 days, of which 28 days the stock market (S&P futures) fell and 7 the stock market rose. The VIX decreased on 49 days, of which 41 were stock market up days, 8 were down days. | |
| May 4, 2021 at 18:47 | comment | added | Kermittfrog | We did some work on a related question here sciencedirect.com/science/article/abs/pii/S0378426620301412 and found that the premium for index options comes from downside risk (significantly) and not so much from upside ‚risk‘. | |
| May 4, 2021 at 18:39 | history | asked | Snowball | CC BY-SA 4.0 |