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Analysis Of The Factors Impacting Etfs Net Fund Flow Changes, Stoyu Ivanov
Analysis Of The Factors Impacting Etfs Net Fund Flow Changes, Stoyu Ivanov
Faculty Publications
PurposeThe purpose of this study is to identify the factors that impact the exchange-traded funds net fund flow changes on a daily basis.Design/methodology/approachA total of 1,212 different exchange-traded funds with a proprietary daily net fund flow data and logistic regressions were studied because the majority of the 1,212 exchange-traded funds have mostly zero daily net fund flow changes.FindingsIt was documented that in the period December 22, 2005 to July 28, 2010 autocorrelation at the daily frequency is not universally present for the 1,212 exchange-traded funds that we study, despite the fact that this is the case in the monthly data …
The Implied Volatility Of Etf And Index Options., Stoyu Ivanov, Jeff Whitworth, Yi Zhang
The Implied Volatility Of Etf And Index Options., Stoyu Ivanov, Jeff Whitworth, Yi Zhang
Faculty Publications
We examine the option-implied volatility of the three most liquid ETFs (Diamonds, Spiders, and Cubes) and their respective tracking indices (Dow 30, S&P 500, and NASDAQ 100). We find that volatility smiles for ETF options are more pronounced than for index options, primarily because deep-in-the money ETF options have considerably higher implied volatility than deep-in-the-money index options. The observed difference in implied volatility is not due to a difference between the realized return distributions of the underlying ETFs and indices. Differences in implied volatility for ETF and index options also do not appear to be explained by discrepancies in net …