Dividends and S&P 100 index option valuation

Article Abstract:

Computational methods using Standard and Poor's (S&P) 100 Stock Price Index in determining stock option prices often yield faulty results. These methods, which are known as European or American style procedures, are faulty because they presume that prices do not vary and they do not take into account the periodicity of dividend payments on the S&P 100 index. Valuation and seasonality of index cash dividends are crucial in determining the prices of S&P 100 index options.

Usage, Dividends, Standard and Poor's 100 Stock Price Index

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Predicting stock market volatility: a new measure

Article Abstract:

The validity of the CBOE Market Validity Index as a measure of stock market volatility is discussed. As the subject of evaluation, the mean of the implied volatilities of eight S&P 100 options is regarded as the index whose behavior is tracked over a seven-year period. Results show that this volatility index is negatively related to stock market returns. In other words, an increase in the index is accompanied by a decrease in stock market returns and vice versa.

Indexation (Economics)

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Trading costs and the relative rates of price discovery in stocks, futures, and option markets

Article Abstract:

A trading cost explanation is presented for the relative rates of price discovery in the stock, futures and options markets. Leverage effects which determine the temporal relationships among markets is not found to be applicable to the relationship between the stock and stock option markets. Past studies show that stock prices lead stock option prices. This has been found to be consistent with the structure of trading costs.

Analysis, Options (Finance), Futures

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