Usage of Stock Index Options: Evidence from the Italian Market

STOCK MARKET VOLATILITY, pp. 337-353, G.N. Gregoriou, ed., Chapman Hall-CRC/Taylor and Francis, 2009

Posted: 9 Jan 2011

See all articles by Rosa Cocozza

Rosa Cocozza

University of Naples Federico II - Faculty of Economics

Date Written: 2009

Abstract

The paper addresses the question of the usage of stock index option, with reference to both directional strategies and volatility based strategies. The issue of the paper is twofold. Firstly there is a full analysis of possible strategy implementation with reference to the underlying price and volatility expectations. In this section we depict a complete “map” of the potential decision-making processes involved in option trading, according to the relevant expectations. Secondly, the analytical model is applied to the Italian Stock Index Option Market, with the final aim to identify which strategy prevails within the market.

Keywords: Option strategies, option trading, convexity gains

JEL Classification: G12, G13

Suggested Citation

Cocozza, Rosa, Usage of Stock Index Options: Evidence from the Italian Market (2009). STOCK MARKET VOLATILITY, pp. 337-353, G.N. Gregoriou, ed., Chapman Hall-CRC/Taylor and Francis, 2009, Available at SSRN: https://ssrn.com/abstract=1737024

Rosa Cocozza (Contact Author)

University of Naples Federico II - Faculty of Economics ( email )

Via Cintia Monte S. Angelo
Napoli, 80126
Italy
+39/81675083 (Phone)

HOME PAGE: http://www.docenti.unina.it/rosa.cocozza

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