• norsk
    • English
  • norsk 
    • norsk
    • English
  • Logg inn
Vis innførsel 
  •   Hjem
  • Fakultet for økonomi (ØK)
  • NTNU Handelshøyskolen
  • Vis innførsel
  •   Hjem
  • Fakultet for økonomi (ØK)
  • NTNU Handelshøyskolen
  • Vis innførsel
JavaScript is disabled for your browser. Some features of this site may not work without it.

Determinants of implied volatility and implied skewness for WTI crude oil

Tangen, Fredrik; Vasseng, Kristine
Master thesis
Thumbnail
Åpne
Vasseng og Tangen (656.0Kb)
Permanent lenke
http://hdl.handle.net/11250/2577550
Utgivelsesdato
2018
Metadata
Vis full innførsel
Samlinger
  • NTNU Handelshøyskolen [1153]
Sammendrag
We analyze empirically what drives changes in the volatility smile for WTI crude oil, by calculating at-the-money implied volatility and a proxy for implied skewness on nearby future options from 25.07.2006 to 03.03.2016. To our knowledge no previous research use a proxy for implied skewness when examining what drives changes in implied skewness for WTI crude oil. We examine if macroeconomic conditions, physical oil market fundamentals and financial variables can explain what drives changes in implied volatility and implied skewness. Our results for implied volatility supports the findings of Robe and Wallen (2016). The results for implied skewness shows that physical oil market fundamentals contributes significantly in explaining

changes in implied skewness. Storage capacity in Cushing is proxied by the slope of the WTI crude oil term structure, and is significant when in state of backwardation. Higher degree of backwardation, more available storage capacity, has a positive effect on implied skewness. OPEC spare capacity is close to significant at a 10% level and is measured by a dummy variable. High OPEC spare capacity has a positive effect on implied skewness. In addition the control variable for time to maturity is significant and increasing time to maturity has a negative effect on implied skewness.
Utgiver
NTNU

Kontakt oss | Gi tilbakemelding

Personvernerklæring
DSpace software copyright © 2002-2019  DuraSpace

Levert av  Unit
 

 

Bla i

Hele arkivetDelarkiv og samlingerUtgivelsesdatoForfattereTitlerEmneordDokumenttyperTidsskrifterDenne samlingenUtgivelsesdatoForfattereTitlerEmneordDokumenttyperTidsskrifter

Min side

Logg inn

Statistikk

Besøksstatistikk

Kontakt oss | Gi tilbakemelding

Personvernerklæring
DSpace software copyright © 2002-2019  DuraSpace

Levert av  Unit