S&P 500 options term structure

• Autor(a) principal: Silva, João Pedro Gonçalves Cordeiro da
• Data de Publicação: 2022
• Tipo de documento: Dissertação
• Idioma: eng
• Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
• Texto Completo: http://hdl.handle.net/10071/27102
• topic: S&P 500 options; Term structure; VIX; Opções sobre o S&P 500; Estrutura temporal

This dissertation derives the S&P 500 term structure and studies its behaviour and relation with S&P 500 returns. The VIX term structure is normally sloping upwards, showing a downward slope only occasionally. There is a clear relation between more stable market conditions and an upward sloping VIX term structure, with the term structure showing downward slope during more stressful, less favorable market conditions. The shape of the VIX term structure is also linked to posterior SPX returns, with higher returns being verified when the term structure shape is sloping upwards. The shape and data portrayed by implied volatility term structures are used often by investors as a way to check the market’s expectation of volatility and to deduct about the state of the stock market.