8

I don't see anyplace obvious. My quick reading of Garber's original paper is that he greatly drew on work by Ernst Krelage which I've linked below. The Appendix I of Thompson (2007) describes in detail how he constructs his time series. I think you'll have to get your hands dirty, get into the weeds of these papers. This is probably a good thing, as the ...


7

You are confining your perspective to just the delta or directional bets on equities. There are other bets that are embedded in options besides delta. The most obvious is the bet on volatility. Being long options will allow investors to take a view that the volatility of the stock will be greater than where this is trading currently. There are two ways ...


3

Also, check out this senior thesis on the tulip mania; the author used what sounds like the type of data you are looking for, so I would reach out to him and ask him where he got it: http://arno.uvt.nl/show.cgi?fid=129437


2

One aspect you seem not to have so far considered is the ability to trade OTC spread options. A gas-fired power plant is naturally exposed to the "spark spread" (the difference between the market price of a unit of power and the cost of the gas required to produce that power). These are traded OTC between utilities, banks and standalone energy traders and ...


1

Claim 1 has merit on its own. For claims 2 and 3, I offer this: it’s not so much a question of whether these suppositions have any merit, but rather regarding people’s perception of their veracity. To that end, there is a perception that options provide more favorable leverage than margin. Whether that’s true or not would have to be dealt on a case by case ...


1

In regards to point 3, that is not entirely false. You can create a delta one position synthetically with options and have a predefined potential gain/loss profile. Having the ability to buy an asset on margin still carries the uncertainty of what is going to happen with respect to price. This is not the case with options as you can know what your payoff ...


1

You don't have to have a large percentage of the participants able to take physical delivery, just a small percentage. For every contract there are plenty of people who will take it in to inventory or sell out of it if the spread between the spot and future is wide enough. So there's a band that's created. For example, if Henry Hub Gas is 2.9 and the ...


1

Although, I think this question is a bit off-topic for a Quant S.E., I'll try to answer it with my background sitting at a commodities desk at a bank. Since most of the future contracts are never settled physically (therefore, no actual trades occour), why would the rest (actual buyers and sellers) even agree to participate in this speculative price ...


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