國立中興大學財務金融系,Department of Finance National Chung Hsing University
Abstract:
Deviations from put-call-futures parity contain information about asset prices and future market movements. Using the difference in implied volatility between call and put options, which is implied volatility spread, we find the dominant explanation power of the implied volatility spread on the deviations of put-call-futures parity. Implied volatility spreads transfer market information into asset prices. Then we show that the implied volatility spread is useful in price discovery. We find that a dynamic investment strategy without transaction costs has 0.5~0.8% average daily abnormal return, especially for the at-the-money and near at-the-money contracts. In addition, we show that volatility smile is an important factor that can affect the predictability of the deviations and the performance of the investment strategy. One major contribution of our results is to provide useful information to investors in making their investment strategies.
