The objective of this thesis is to analyze the phenomenon of overreaction in the VIX (CBOE Volatility Index) options market, focusing on the variations between Implied Volatility (IV) and Realized Volatility (RV). Using a historical dataset of VIX options, the study identifies periods of significant VIX growth and examines the structure of options across three moneyness categories: "IN THE MONEY” "AT THE MONEY” and “OUT OF THE MONEY”.
Overreaction in VIX’s options
MEHMETI, DANJEL
2023/2024
Abstract
The objective of this thesis is to analyze the phenomenon of overreaction in the VIX (CBOE Volatility Index) options market, focusing on the variations between Implied Volatility (IV) and Realized Volatility (RV). Using a historical dataset of VIX options, the study identifies periods of significant VIX growth and examines the structure of options across three moneyness categories: "IN THE MONEY” "AT THE MONEY” and “OUT OF THE MONEY”.File in questo prodotto:
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Overreaction in VIX's options.pdf
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Utilizza questo identificativo per citare o creare un link a questo documento:
https://hdl.handle.net/20.500.14247/24376