Advanced

Kan överavkastning erhållas från optionshandel baserat på informationen i den öppna balansen?

Johansson, Gustaf; Ekdahl, Gustav and Ankarcrona, Louise (2008)
Department of Economics
Abstract
Purpose
The purpose with this study was to investigate whether it was possible to predict an interval in the future for the underlying instrument by weighting sold put and call options. Further purpose was to investigate if it was possible to build strategies from this information and get a return. Method
We received a weighted value by comparing the difference in the open interest from one day to another for both of the options. Then we created a trend line whit those values which has lying as a ground for future decisions. With this information investigated we whether it was possible to reach a return whit adequate strategies. We created an interval whit our method on the investment day and one on the maturity day and analysed how the... (More)
Purpose
The purpose with this study was to investigate whether it was possible to predict an interval in the future for the underlying instrument by weighting sold put and call options. Further purpose was to investigate if it was possible to build strategies from this information and get a return. Method
We received a weighted value by comparing the difference in the open interest from one day to another for both of the options. Then we created a trend line whit those values which has lying as a ground for future decisions. With this information investigated we whether it was possible to reach a return whit adequate strategies. We created an interval whit our method on the investment day and one on the maturity day and analysed how the underlying instrument performed. Whit the interval on the investment day as a base entered we into adequate strategies. Results
The strategies we entered in have in a majority of the cases resulting in a positive return. If all strategies summarize is the result very good. Our conclusion is that it’s possible to predict an interval in which the underlying tends to stay on the maturity day, based from the information in the open interest. It has also been possible to build option strategies who give us a return from this information. (Less)
Please use this url to cite or link to this publication:
@misc{1644179,
  abstract     = {Purpose
The purpose with this study was to investigate whether it was possible to predict an interval in the future for the underlying instrument by weighting sold put and call options. Further purpose was to investigate if it was possible to build strategies from this information and get a return. Method
We received a weighted value by comparing the difference in the open interest from one day to another for both of the options. Then we created a trend line whit those values which has lying as a ground for future decisions. With this information investigated we whether it was possible to reach a return whit adequate strategies. We created an interval whit our method on the investment day and one on the maturity day and analysed how the underlying instrument performed. Whit the interval on the investment day as a base entered we into adequate strategies. Results
The strategies we entered in have in a majority of the cases resulting in a positive return. If all strategies summarize is the result very good. Our conclusion is that it’s possible to predict an interval in which the underlying tends to stay on the maturity day, based from the information in the open interest. It has also been possible to build option strategies who give us a return from this information.},
  author       = {Johansson, Gustaf and Ekdahl, Gustav and Ankarcrona, Louise},
  keyword      = {return,strategies,options,open interest,straddle,Economics, econometrics, economic theory, economic systems, economic policy,Nationalekonomi, ekonometri, ekonomisk teori, ekonomiska system, ekonomisk politik},
  language     = {swe},
  note         = {Student Paper},
  title        = {Kan överavkastning erhållas från optionshandel baserat på informationen i den öppna balansen?},
  year         = {2008},
}