000029639 001__ 29639
000029639 005__ 20131209145630.0
000029639 0248_ $$aoai:doc.rero.ch:20120820090958-OT$$pinfonet_economy$$punifr$$prero_explore$$pcdu33$$preport$$zthesis_urn$$zthesis$$zbook$$zjournal$$zcdu16$$zpostprint$$zpreprint$$zcdu1$$zdissertation$$zcdu34
000029639 041__ $$aeng
000029639 080__ $$a33
000029639 100__ $$aWallmeier, Martin
000029639 245__ $$9eng$$aSmile in Motion : An Intraday Analysis of Asymmetric Implied Volatility
000029639 269__ $$c2012-08-20
000029639 300__ $$a34
000029639 490__ $$aWorking Papers SES$$v427
000029639 520__ $$9eng$$aWe present a new method to measure the intraday relationship between movements of implied volatility smiles and stock returns. It is based on an enhanced smile regression model which captures patterns in the intraday data which have not yet been reported in the literature. Using transaction data for exchange-traded EuroStoxx 50 options from 2000 to 2011 and DAX options from 1995 to 2011, we show that, on average, about 99% of the intraday variation of implied volatility can be explained by moneyness and changes in the index level. Compared to the typical smile regression with moneyness alone, about 50% of the remaining errors can be attributed to movements in the underlying index. We find that the intraday evolution of volatility smiles is generally not consistent with traders' rules of thumb such as the sticky strike or sticky delta rule. On average, the impact of index return on implied volatility is 1.3 to 1.5 times stronger than the sticky strike rule predicts. The main factor driving variations of this adjustment factor is the index return. Our results have implications for option valuation, hedging and the understanding of the leverage effect.
000029639 695__ $$9eng$$avolatility smile ; implied volatility ; leverage effect ; index options ; highfrequency data
000029639 775__ $$gFaculté SES$$ohttp://www.unifr.ch/ses/wp
000029639 8564_ $$fWP_SES_427.pdf$$qapplication/pdf$$s525511$$uhttp://doc.rero.ch/record/29639/files/WP_SES_427.pdf$$yorder:1$$zDocument
000029639 918__ $$aFaculté des sciences économiques et sociales$$bDécanat, Av. de l'Europe 20, 1700 Fribourg
000029639 919__ $$aUniversité de Fribourg$$bFribourg$$ddoc.support@rero.ch
000029639 980__ $$aREPORT$$bUNIFR
000029639 982__ $$aWorking Papers SES
000029639 990__ $$a20120820090958-OT