Options Performance & Risk Management Ideas

[hychong]

Hi all,

I would like to generate some specific titles for my dissertation proposal (MSc level) about the financial industry in a few days time hopefully. As this is my first time writing up my own topic, I find it hard to pin-point a more specific question-please help!!

My interest lies in using quantitative analysis(not too advanced) to find some correlations / specific findings relating to derivatives (equity options preferred) for risk management practices (companies/individuals/countries) . The study should require attainable data sources(online).

I would like to formulate an achievable objective / hypothesis from my area of interest.

Would really appreciate any help from any of you.(the more the better)

Thank you very much.

Albert

 

[hychong]

Hi GammaJammer,

Thanks very much for your help and contribution.

I am not sure how to define/explore error in "Tracking error in hedging using options". To me it might seem to be more complicated than I could handle. I would prefer similar ideas with easier to define aspects? "Performance of options vs. underlying" seem a little too simple. I am trying to find the gap between the range of the two topics, though I am very interested in your suggested topic. It will be great to expand along these interesting areas "Hedging using options" with perhaps "Errors (in simpler ways)" or "Performance vs others" or "New other variables that could be explored"?

Indeed the backwards data mining is a good idea. Currently I only have resources from CBOE and thinkorswim historical options prices. Not sure how accurate or useful they are. Besides, is there any similar database available freely?

Thanks again =D
albert

 

[hychong]

Hi all,

I'll throw in some key words that I have listed. Take this as a mind boggling puzzle to solve?
You can add in any other ideas too please.

Objective: Construct an attainable MSc dissertation research topic !

Keywords: "options, hedging, volume, volatilities, costs, benefits, individuals, companies, countries, commodities, equities, correlation, difference, performance, other financial products, mergers and acquisitions, crisis, earnings season, expiration, strategy, spreads"

Thanks alot for anyone who participate!

 

[Adamus]

how about looking at the correlation of the Vix with options premiums during the credit crunch instability this last 12 months.

 

[hychong]

Dear Adam,

Thank you for your help! My data then will most probably be available for VIX and top US corporations which I should focus on.

My observation is that one could guess that the option premiums of corporations will positively correlate with VIX (except maybe not so much for some companies). I am concerned about the lack of output I could contribute to this topic in terms of coming out with something unusual.

Really appreciate any feedback contributed.

Regards
Albert

 

[Adamus]

excuse me for patronising you, but a word of advice from someone who's done an MSc thesis: forget about being unusual or interesting - save that for when you're a professor. Concentrate on being technically academic to the greatest degree, and even if your project sends you to sleep, you will get your summa cum laude. Your supervisor should be able to help better. If he or she doesn't, change supervisors!