Open Access. Powered by Scholars. Published by Universities.®
Articles 1 - 1 of 1
Full-Text Articles in Business
Essays On The Term Structure Of Volatility And Option Returns, Vincent Campasano
Essays On The Term Structure Of Volatility And Option Returns, Vincent Campasano
Doctoral Dissertations
The first essay studies the dynamics of equity option implied volatility and shows that they depend both upon the option’s time to maturity (horizon) and slope of the implied volatility term structure for the underlying asset (term struc ture). We propose a simple, illustrative framework which intuitively captures these dynamics. Guided by our framework, we examine a number of volatility trading strategies across horizon, and the extent to which profitability of trading strategies is due to an interaction between term structure and realized volatility. While profitable trading strategies based upon term structure exist for both long and short horizon options, …