2015 Conference
October 15–16, 2015
Orlando, FL
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Option-Implied Information in Leveraged and Negative Exchange Traded Funds
Keywords: 5 words maximum
options implied-volatility Leveraged-Exchange-Traded-Funds Inverse-Exchange-Traded-Funds volatility
Very short description for use in the program to help attendees understand more than a title can describe
This study examines the option-implied information derived from exchange traded funds (ETFs), as well as positively leveraged and negatively leverage exchange traded funds (LETF). Preliminary results suggest that daily portfolios created on large deviations from put-call parity (PCP) outperform their targeted multiples, whereas portfolios created on smaller deviations tend to underperform their respective targets. Furthermore, leveraged ETF raw returns experience relative increases when put-call parity deviations are high.
Lead & Corresponding Author
Adam C. Harper, University of Texas at Arlington
Job Title
Doctoral Finance Student
Additional Authors
Salil K. Sarkar, Ph.D., CFA, The University of Texas at Arlington
Job Title
Associate Professor of Finance & Graduate Advisor: Ph.D. Finance Program