Chulalongkorn University Theses and Dissertations (Chula ETD)
Year (A.D.)
2019
Document Type
Independent Study
First Advisor
Sira Suchintabandid
Faculty/College
Faculty of Commerce and Accountancy (คณะพาณิชยศาสตร์และการบัญชี)
Department (if any)
Department of Banking and Finance (ภาควิชาการธนาคารและการเงิน)
Degree Name
Master of Science
Degree Level
Master's Degree
Degree Discipline
Finance
DOI
10.58837/CHULA.IS.2019.49
Abstract
The study examines the impacts of volatility spread and time-to-maturity on the returns of writing non-directional options strategies on SET50 index options in Thailand Futures Exchange. The study allows to use over-lapping data for the periods of 1-month, 2-month and 3-month maturities to test with the same expiration date to examine the impacts of time-to-maturity. Also, this paper adds the data of in-the-money and out-of-the-money by 25 points and 50 points call and put options to build strangle in various moneyness to find the difference of the impact of volatility spread and time-to-maturity from various moneyness.
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Recommended Citation
Rungwittayatiwat, Thapanon, "The impacts of Volatility Spread and Timing on writing non-directional options strategies" (2019). Chulalongkorn University Theses and Dissertations (Chula ETD). 6915.
https://digital.car.chula.ac.th/chulaetd/6915