What Do Index Options Teach Us About COVID-19?

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2020
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The Review of Asset Pricing Studies. Oxford University Press. 2020, 10(4), pp. 618-634. ISSN 2045-9920. eISSN 2045-9939. Available under: doi: 10.1093/rapstu/raaa012
Zusammenfassung

Risk-neutral distributions of the S&P 500 are informative about the COVID-19 pandemic beyond what one can learn from index values and the market fear gauge of the VIX alone. We learn that, on February 20, 2020, the index did not yet reflect the impending crisis. Only on March 16, 2020, was the full impact visible, with a pronounced bimodality for longer-maturity options revealing a sizeable crash scenario. The corresponding physical distribution is more symmetric and features a high-volatility crash scenario. Firms bought crash protection ahead of the index crash, whereas retail customers bought it as the index was already recovering.

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ISO 690JACKWERTH, Jens, 2020. What Do Index Options Teach Us About COVID-19?. In: The Review of Asset Pricing Studies. Oxford University Press. 2020, 10(4), pp. 618-634. ISSN 2045-9920. eISSN 2045-9939. Available under: doi: 10.1093/rapstu/raaa012
BibTex
@article{Jackwerth2020Index-53551,
  year={2020},
  doi={10.1093/rapstu/raaa012},
  title={What Do Index Options Teach Us About COVID-19?},
  number={4},
  volume={10},
  issn={2045-9920},
  journal={The Review of Asset Pricing Studies},
  pages={618--634},
  author={Jackwerth, Jens}
}
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