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Forecasts And Implications Using Vix Options, Spencer Stanley, William Trainor
Forecasts And Implications Using Vix Options, Spencer Stanley, William Trainor
Undergraduate Honors Theses
This study examines the Chicago Board Option Exchange (CBOE) Volatility Index (VIX) which is the implied volatility calculated from short-term option prices on the Standards & Poor’s 500 stock index (S&P 500). Findings suggest VIX overestimates average volatility by approximately 3% but explains 55% of S&P 500’s proceeding month’s volatility. The implied volatility (IV) from options on the VIX add additional explanatory power for the S&P’s 500 proceeding kurtosis values (a measure of tail risk). The VIX option’s volatility smirks did not add additional explanatory power for explaining the S&P 500 volatility or kurtosis. A simple trading rule based on …
Initial Effects Of Subchapter V Of Chapter 11 Bankruptcy During Covid-19, Denise Han
Initial Effects Of Subchapter V Of Chapter 11 Bankruptcy During Covid-19, Denise Han
Undergraduate Honors Theses
On February 19, 2020, the Small Business Reorganization Act of 2019 went into effect, ushering in the use of Subchapter V by small business debtors. Lawmakers crafted Subchapter V with the intent to make the reorganization process more streamlined and cost effective than the standard Chapter 11 was for these debtors. With features such as the Subchapter V trustee, cramdown provisions, filing deadlines, lack of a creditors’ committee, and relaxed disclosure requirements, small business debtors should in theory be better positioned to emerge from bankruptcy as viable entities. Through quantitative analysis and qualitative research, this Article explores initial observations on …