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The ratio represents a proportion between all the put options and all the call options purchased on any given day. The put/call ratio can be calculated for any individual stock, as well as for any index, or can be aggregated. [2] For example, CBOE Volume and Put/Call Ratio data is compiled for the convenience of site visitors. [3]
The income return of 19.8% exceeds the total return of 10.3%, as a portion of premiums are paid to insure losses of the put buyers. The PUT Index had a higher Sharpe ratio, higher Sortino Ratio, and more negative skewness than the S&P 500 Index. A key source of excess returns for the PUT Index lies in the fact that index options have tended to ...
CBOE also calculates the Nasdaq-100 Volatility Index (VXNSM), CBOE DJIA Volatility Index (VXDSM) and the CBOE Russell 2000 Volatility Index (RVXSM). [6] There is even a VIX on VIX (VVIX) which is a volatility of volatility measure in that it represents the expected volatility of the 30-day forward price of the CBOE Volatility Index (the VIX). [10]
Put option: A put option gives its buyer the right, but not the obligation, to sell a stock at the strike price prior to the expiration date. When you buy a call or put option, you pay a premium ...
Friday's stock swoon pushed the S&P 500 below the 200-day moving average, sending anxiety readings to the moon. Chart watchers are understandably concerned about the breakdown, but the level of ...
C. Calendar spread; Call option; Callable bond; Callable bull/bear contract; Carr–Madan formula; CBOE DJIA BuyWrite Index; CBOE S&P 500 BuyWrite Index; CBOE S&P 500 PutWrite Index
A box spread consists of a bull call spread and a bear put spread. The calls and puts have the same expiration date. The resulting portfolio is delta neutral. For example, a 40-50 January 2010 box consists of: Long a January 2010 40-strike call; Short a January 2010 50-strike call; Long a January 2010 50-strike put; Short a January 2010 40 ...
In finance, a put or put option is a derivative instrument in financial markets that gives the holder (i.e. the purchaser of the put option) the right to sell an asset (the underlying), at a specified price (the strike), by (or on) a specified date (the expiry or maturity) to the writer (i.e. seller) of the put.
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