Questions tagged [index]
An index is a reference portfolio that can be used, either to benchmark the performance of an investment strategy, either to create products (Futures, Structured Products).
208 questions
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Where to find downloadable 1-hour data of DAX index? [duplicate]
I am looking for a page/site where I can download the historical data for the DAX index (or other stuff) with at least 1 hour resolution for the complete trading time window from 8:00 in the morning ...
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1 vote
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How to scrape information from a bulletin
We receive index bulletins from a trading desk with predictions regarding which stocks will be dropped/added to specific indices due to scheduled rebalancings or any other random event really. The ...
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SPY vs Composite Price of S&P 500 Constituents
I was always under the impression that SPY, VOO, and other S&P 500 tracking ETFs would move at a relative fixed constant w.r.t the composite of the constituents, i.e. $$ S_{SPY} = \sum_i w_i S_i + ...
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Predicting index inclusions/exclusions
So I'm currently trying to generate alpha by predicting index inclusions/exclusions before any official announcement is made. My idea is to do so algorithmically, where I build a model that tracks the ...
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1 vote
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Mismatch Between DAX Options Market Prices and Theoretical Values
For edit see below. I'm currently working with DAX Options (ODAX on EUREX), and according to the specifications, the underlying is the DAX index. For options pricing, I'm using the official daily ...
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4 votes
1 answer
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Violation of No Free Lunch with Vanishing Risk
In this question I construct a very simple violation of the No Free Lunch with Vanishing Risk property (NFLVR). This should not be possible. Have I made a mistake? To be as detailed as possible, I ...
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Ideas of vol-control mechanism to improve sharpe
I am trying to improve a regular vol-control for a personal project based on t-2 ewma or std vol as it does not really perform any better in sharpe ratio than it's benchmark (S&P500). I am ...
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2 votes
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Hedging an Equity Index Open Fixing
How would a delta-1 desk hedge a TRS on a major equity index (assume SPX/NDX/SX5E/DAX/HSI/NKY) that is fixed vs the cash open? I understand that the open is technically a mix of live and stale prices ...
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Total Return vs Adjusted Price Return
I have a question regarding the difference between the total return index and adjusted price for the index. Based on what I know... Total return index assumes dividend reinvestment. Adjusted price '...
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1 vote
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How can I price a stock index dividend option (e.g. on CAC40 dividend index) in absence of historical volatility of the underlying?
To price an option on an index, Black-76 model should be used. Question 1: should I consider a future on the stock dividend index as an underlying with an expiry corresponding to the expiry of the ...
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Liquidity of SPX options with tenors over 2 years
I see that Bloomberg provides SPX index volatility surface values for option tenors up to and including 5 years. I used option tenors of up to 2 years in the past (over five years ago) when I worked ...
2 votes
1 answer
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For index option pricing which model should be used black 76 or black scholes [closed]
For index option pricing - Which model should be used black 76 or black scholes. Please provide me pros and cons.
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Under what circumstances is hedging a portfolio by shorting index futures profitable? (John C. Hull 11e Practice Questions 3.25)
This question is based on a claim made in both practice question 3.25 and section 3.5 of Options, Futures and Derivatives by John C. Hull, 11th edition. The question On July 1, an investor holds 50,...
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-1 votes
1 answer
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calculating net exposure to an index
I would like to invest in a portfolio of two inversely correlated ETFs, with funds allocated at a ratio. The two funds track the performance of the same underlying index: the share price of NVDA (...
5 votes
2 answers
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Does value of a TRS only involve past price movement and not expected returns?
Is the value of a TRS just the difference between the "financing leg" (e.g. the side paying -IBOR plus spread) and "asset leg" (e.g. the side pay income and price changes), with of ...
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