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Issue 5(1), October 2010 -- Paper Abstracts

Girard  (p. 9-22)

Cooper (p. 23-32)

Kunz-Osborne (p. 33-41)

Coulmas-Law (p.42-46)

Stasio (p. 47-56)

Albert-Valette-Florence (p.57-63)

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Nonis-Hudson-Hunt (p. 95-106)

JOURNAL OF APPLIED BUSINESS AND ECONOMICS

Analysis of the Relation Between the Spiders’ Spot and Option Implied Volatility

Author(s): Stoyu I. Ivanov

Citation: Stoyu I. Ivanov, (2014) "Analysis of the Relation Between the Spiders’ Spot and Option Implied Volatility," Journal of Applied Business and Economics, Vol. 16, Iss. 4, pp. 11-21

Article Type: Research paper

Publisher: North American Business Press

Abstract:

In this study we use spectral analysis on SPY (Spiders) options to examine the relation between option

spot and implied volatility for this exchange trade fund. We attempt to address the question is there a

relation between the option spot and implied volatility or option implied volatility has no relation with the

spot exchange trade fund volatility. We find that this relation does exist for SPY at-the-money call and put

options and the in-the-money call and out-of-the-money put options. Using two spectral statistics – the

coherence and the phase statistics, we find that the SPY option implied volatility and spot volatility have a

relation and that the SPY option implied volatility leads the SPY spot volatility.