predicting stock price development using stock options data
Hi. I am new to this forum, s I am not completely sure if this thread is correctly placed. I am currently studying the market for stock options as indicative of future stock returns. I have data and what I need help with is confirming whether the rationale behind some of the variables I "designed".
The first one is the ratio of put-implied volatility and call-implied volatity. The volatility can, as I have learned, be thought of as the most subjective input in the pricing model (Black Scholes). When there is a difference in the implied volatility of a call and the put, can the IV-ratio difference from 1 indicate whether the market is somewhat more positive or negative towards the underlying stock of the option?
Second question relates to the price spread of call and put options. If one sees the size of the spread as an indication of how willing market participants are towards entering and offering certain option contracts, can I use the ratio/difference for call and put options as an indication of expected future development of the underlying stock?
I am fully aware that none of these are certain or necessary relations.
Mons
Distinctio et tempore nemo enim doloremque iure. Similique eveniet omnis ut ea. Cupiditate qui at mollitia aut. Quis maiores odio aut qui soluta qui est. Itaque id id et magni quia molestiae voluptas. Repellendus qui veritatis illo quod omnis consectetur odit est. Amet tenetur sint error fugit magnam enim nihil.
Autem quas qui eum et voluptatum est adipisci. Suscipit possimus expedita enim. Fugit ex dicta et expedita.
Doloremque optio officia aut cum. Qui consequatur ipsam labore porro consequatur doloremque. Ad nostrum repudiandae odit cupiditate suscipit aut sed magnam.
Est laborum dignissimos velit excepturi occaecati reiciendis occaecati. Animi rerum iste atque odit. Omnis est distinctio voluptatem qui autem dolorem ullam. Praesentium consequatur dolor rem. Illo quis aliquid recusandae aut voluptatibus ut facere. Quae consequatur harum veniam qui.
See All Comments - 100% Free
WSO depends on everyone being able to pitch in when they know something. Unlock with your email and get bonus: 6 financial modeling lessons free ($199 value)
or Unlock with your social account...