ETF Central » options http://etf-central.com Fast-paced market news, analysis, and discussion - Michael J. Bommarito II Mon, 14 Feb 2011 19:25:43 +0000 en hourly 1 http://wordpress.org/?v=3.3.1 C. San-Lin, W.-C. Tsai, Y.-H. Wang, P.-S. P. Weng. The Information Content of the S&P 500 Index and VIX Options on the Dynamics of the S&P 500 Index. http://etf-central.com/2010/11/21/c-san-lin-w-c-tsai-y-h-wang-p-s-p-weng-the-information-content-of-the-sp-500-index-and-vix-options-on-the-dynamics-of-the-sp-500-index/ http://etf-central.com/2010/11/21/c-san-lin-w-c-tsai-y-h-wang-p-s-p-weng-the-information-content-of-the-sp-500-index-and-vix-options-on-the-dynamics-of-the-sp-500-index/#comments Mon, 22 Nov 2010 02:52:08 +0000 Michael Bommarito http://etf-central.com/?p=421

Abstract: Given that both S&P 500 index and VIX options essentially contain information on the future dynamics of the S&P 500 index, in this study, we set out to empirically investigate the informational roles played by these two option markets with regard to the prediction of returns, volatility and density in the S&P 500 index. Our results reveal that the information content implied from these two option markets is not identical. In addition to the information extracted from the S&P 500 index options, all of the predictions for the S&P 500 index are significantly improved by the information recovered from the VIX options. Our findings are robust to various measures of realized volatility and methods of density evaluation.

C. San-Lin, W.-C. Tsai, Y.-H. Wang, P.-S. P. Weng. The Information Content of the S&P 500 Index and VIX Options on the Dynamics of the S&P 500 Index. http://ssrn.com/abstract=1711036.

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]]> http://etf-central.com/2010/11/21/c-san-lin-w-c-tsai-y-h-wang-p-s-p-weng-the-information-content-of-the-sp-500-index-and-vix-options-on-the-dynamics-of-the-sp-500-index/feed/ 1 Top 30 Optionable ETFs By Volume http://etf-central.com/2007/05/21/top-30-optionable-etfs-by-volume/ http://etf-central.com/2007/05/21/top-30-optionable-etfs-by-volume/#comments Mon, 21 May 2007 19:00:26 +0000 Michael Bommarito http://etf-central.com/?p=32 This post was originally published on May 21st, 2007.  It was imported from a previous version of the site.
As optionable securities, ETFs are providing traders with a dramatically safer means of profiting from sector momentum.  Though the AMEX and Philadelphia Exchange have listed index options for a number of years, the liquidity and rate of expansion of these derivatives was relatively varied.  Thus, many traders continued to rely on options for individual stocks within a sector as a proxy for the sector as a whole.

With the rapid expansion of ETFs and the competition between issuers and exchanges that has ensued, the number of sector and specialized index options has grown dramatically.  The following is a list of the top 30 ETFs on which options can be traded, ranked by volume.

ETF Name Symbol
SPDR TR UNIT SER 1 SPY
POWERSHARES QQQ TRUST UNIT SER 1 QQQQ
ISHARES TR RUSSELL 2000 IWM
SELECT SECTOR SPDR TR SBI INT-FINL XLF
SELECT SECTOR SPDR TR SBI INT-ENERGY XLE
ISHARES INC MSCI JAPAN EWJ
ISHARES INC MSCI MALAYSIA EWM
SEMICONDUCTOR HLDRS TR DEP RCPT SMH
OIL SVC HOLDRS TR DEPOSTRY RCPT OIH
ISHARES INC MSCI SINGAPORE EWS
ISHARES INC MSCI BRAZIL EWZ
DIAMONDS TR UNIT SER 1 DIA
ISHARES TR FTSE XNHUA IDX FXI
ISHARES TR MSCI EAFE IDX EFA
ISHARES INC MSCI AUSTRALIA EWA
ISHARES TR DJ US REAL EST IYR
POWERSHARES ETF TRUST AERSPC DEF PTF PPA
ISHARES INC MSCI GERMAN EWG
ISHARES INC MSCI HONG KONG EWH
ISHARES TR MSCI EMERG MKT EEM
ISHARES TR RUSL 2000 VALU IWN
SELECT SECTOR SPDR TR SBI INT-UTILS XLU
ISHARES TR RUSL 2000 GROW IWO
STREETTRACKS SER TR SPDR S&P RTL XRT
SELECT SECTOR SPDR TR SBI INT-INDS XLI
MIDCAP SPDR TR UNIT SER 1 MDY
RETAIL HOLDRS TR DEP RCPT RTH
ISHARES INC MSCI TAIWAN EWT
ISHARES TR S&P GSTI SEMIC IGW
VANGUARD INTL EQUITY INDEX FD EMR MKT ETF VWO


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