Volatilität bei DAX OTM Optionen

Wenn es runter geht, dann geht es in der Regel schneller runter als es rauf gegangen ist. Diese unterschiedliche Erwartung drückt sich in den Call- and Put-Volatilitäten aus. Scheint mir eigentlich alles korrekt zu sein.

@ Memphis Rain [#1]

1. Deine Berechnungen sind richtig :-)

2. strikes oberhalb von 7200 - zumindest auf daily settlement basis von der börse findest z.B. auch du hier: http://www.futuresource.com/quotes/options.jsp?s=DAXH07&r=DAX

3. wie bendel schon sagt: das Risiko nach unten ist viel grösser - siehe immer fortwährende Terrorangst, sprich es kann immer knallen und die Börse macht 7 tage zu, aber nach oben geht das so nicht. Das ist der Unterschied

Wenn die CALL Vola auch beim PUT gelten würde, wäre der PUT statt bei "19" nur noch bei "0,55" !! Auf Deutsch: dafür riskiert niemand seinen Popo :-)

und dann guckst Du noch hier
http://www.terminmarktwelt.de/cgi-bin/nforum.pl?ST=19666&page=4

meinen Beitrag 42, da wurde die Frage gerade auch beantwortet mit einer einleuchtenden Grafik.

gruss hans

@ Memphis Rain [#1]

Die Puts sind außerdem teurer, weil die Nachfrage seitens der Fonds, VMs etc. deutlich höher ist, da hier großer Absicherungsbedarg besteht.

Deutlich sieht man dies auch im S&P. Man kann Puts verkaufen, die meilenweit vom aktuellen Kurs entfernt sind. Wenn man aber Calls verkaufen will, muss man ziemlich nah ans aktuelle Niveau heran um nur ein bißchen Prämie zu sammeln.

Gruss Sebastian

@ Memphis Rain [#1]

Diese Unterschiede sollten auch nut OTM bzw. ITM auftreten. ATM wäre sofort eine Arbitragechance. Beispiel: (kurze Laufzeitz.B. 1 Monat)
Kurs 100
1 x b C 100 OP-Preis 10
1 x s P 100 OP-Preis 20
1 x Future short oder Put lont ITM (sehr tief im geld)

Man würde in diesem Fall Euro 10 risikolos(minus Marktzins und Spesen) einstreichen. Das wird es sicher nicht spielen. Kleinere Unterschiede können ATM trotzdem auftreten.

Gruß OPTRADE

Hallo,

vielen Dank für die Antworten. Gibt es denn Erfahrungswerte, um wieviel die Puts teurer sind als Calls? Ist das recht konstant oder gibt es hier Abweichungen?
Ciao

M.R.

Du kannst den Ansbacher Index verwenden um die Puts ins Verhältnis zu den Calls zu setzen und daraus beispeilsweise schließen, ob der Markt zu euphorisch oder pessimistisch ist.

Einfach mal nach dem Index googeln.

Gruss Sebastian

Hallo Sebastian,

na das geht ja schon ziemlich in die Richtung in die ich dachte. Vielen Dank!

Ciao,

M.R.

@ Memphis Rain [#8]

Hast Du den Artikel aus dem Active Trader Mag gefunden im Netz? Wenn nicht, kannst du mir eine Mail schicken, dann leite ich ihn Dir als PDF weiter.

Es geht darin um die genaue Beschreibung und Berechnung des Index.

Gruss Sebastian

Hi,

also ich habe das hier gefunden :

UNDERSTANDING THE ANSBACHER INDEX

Broadcast to a national audience every other Friday at 10:08 AM Eastern time on Bloomberg Financial television and presented to options professionals worldwide by "Futures and Options World," the Ansbacher Index is an indicator of the bullish or bearish sentiment of options traders which can be useful in forecasting the future direction of the stock market. This sentiment is measured by comparing the price of a put approximately 30 points below the current price of the Standard & Poor’s 100 Index (OEX) with the price of a call the same amount above the OEX. The price of the put is then divided into the price of the call to obtain the current Ansbacher Index.

How It Works

A 1.00 reading of the Index is neutral. Readings between 0.80 and 1.20 are regarded as essentially neutral. A figure less than 0.80 is regarded as bullish for the stock market with the Index becoming more bullish as the number decreases. An Index of over 1.20 is bearish, with the Index becoming more bearish as it moves higher.

The relevance of the Index to future moves in the stock market is based upon the contrarian theory that when most people are bullish, the stock market is likely to go down; when they are bearish, it is likely to go up. This is ascribed to the fact that when a person is really bullish, the investor has already bought all the stock and calls he or she is likely to buy and, therefore, there is not much more the person can do to cause the market to rally. If, however, the market goes down, there is a lot of selling the investor will probably do which will intensify the downturn. The reverse is true when a person is really bearish.

In The Ansbacher Index, the higher the price of the put is compared to the price of the call, the lower The Index will be. For example, if a put were 2 and the call were 1, The Index would be 0.5. If the put and call were equal, The Index would be 1.0, and if the put were 1 and the call 2, The Index would be 2. Thus, the more people are willing to pay for puts, which is a way of indicating that they are bearish, the lower The Index will be and, based upon the contrarian theory, the more bullish The Index is.

Calculating The Index

To calculate The Index, one starts with the current price of the OEX. Then one goes down approximately 30 points to the put with a strike price at that level. Then one goes up 30 points from the OEX and finds the price of the call there. Next, divide the price of the put into the price of the call. The options which have between three and seven weeks left until their expiration are the ones which are used.

Past performance is not necessarily indicative of future results. The risk of loss exists in futures trading.

Here is a simplified example: OEX is 800. Going down 30 points, we come to the 770 put which is 2 1/8. Going up 30 points, we come to the 830 call, which is 1 ¾. All fractions. All fractions must be converted to decimals: 2 1/8 = 2.125; 1 ¾ = 1.75. We then divide 1.75 by 2.125, obtaining 0.82, which is within the neutral band although, since it is below 1, it does have a bullish bias.

In an actual example, the OEX is unlikely to be exactly 30 points away from a strike price, which requires another step. Let’s assume that the OEX is 801.50, that the 730 put is still 2 1/8, the 830 call is now 2, and the 835 call is 1 1/8. By going down 30 points from the OEX, we arrive at 771.5, which is not the strike price of any put; but it is nearest to the 770 put, so we will use that put at 2 1/8. Note that we had to come down 31.5 points to get there. Now, when we want to find the appropriate call, we must add the same amount to the OEX as we subtracted to get to the put. In other words, to keep the index accurate, we must go exactly as far up for the call as we went down for the put.

Adding 31.5 to 801.50 gives us 833.00. Of course, there is no 833 strike price call. What we must now do is to compute what the price would be if there were such a call. We do this by taking the appropriate average of the actual calls which are above and below this figure. Here the 830 call is 2, and the 835 call is 1 1/8 (1.125).

To calculate the approximate value of a 833 call, we subtract the difference between the two prices: 2 minus 1.25 = 0.875. Divide this by 5: 0.875/5 = 0.175. This is the average change in the price of the call for each one point change in the call’s strike price. This figure is then multiplied by the amount by which our theoretical strike price is above the strike price of the lower call. Here we are looking for an 833 theoretical strike price. The lower call is an 830; the difference is 3. Multiply 3 by 0.175 = 0.525. This is then subtracted from the price of the lower call. Here that is 2 minus 0.525 = 1.475. This is the price of a call with a theoretical strike price of 833, which is exactly the same amount above the OEX as the 770 put was below it.

Now we can find The Ansbacher Index by dividing the price of the theoretical 833 call, 1.475, by the price of the 870 put, 2.125. The result, 1.475, divided by 2.125 = 0.69, which is bullish.

Rolling Out to the Next Month

One problem which arises if one keeps a record of The Index week after week is that the number of weeks left in the option’s life has an impact on the result. The near-term options are likely to be more extreme in their reading, whether they are bullish or bearish, whereas the further out readings will be closer to neutral. Therefore, when one moves out from one month to the next, there is likely to be a large change in The Index.

In order to smooth this out, we must constantly take readings further out each week. Here’s how this is done: Let’s assume that we are seven weeks away from an expiration date and we are using January options. The following week, instead of using only January options, we compute the Index using both the January and February options. Then we combine the two numbers, giving a 75% weight to the January figure and bringing in the February figure with a 25% weighting. The following week, we decrease the weighting of the shorter-term options by 25% to 50% and we increase the weighting of the further out option by 25% to 50%. This continues each week so that the next week the January is weighted only 25% and the February is weighted 75%.

This method of constant forward rolling reduces the large changes which occur when one month is used for four weeks and then scrapped for the next month. Once a quarter, there is no change to allow for the fact that there are 52 weeks in the year rather than 48.

Quelle : http://www.promanagedfutures.com/ctas/ansbacher/understanding-index.htm

Ist der active magacine Artikel noch ausführlicher?

Grüße,

M.R.

Habe noch mal weiter gesucht, ich glaube das hier ist es : http://cta.visionlp.com/pdf/AIM/activetrader2002.pdf

Danke noch Mal für den Tip!

Ciao,

M.R.

@ Memphis Rain [#11]

Genau das ist er.

gruss Sebastian