Finančni instrumenti osnovani na razpršenosti : delo diplomskega seminarja

Jarc, Žan (author), Kokol-Bukovšek, Damjana (mentor), Toman, Aleš (comentor)

V delu diplomskega seminarja smo predstavili indeks volatilnosti VIX in finančne inštrumente, katerih izplačila so odvisna od vrednosti indeksa VIX; terminske pogodbe na vrednost indeksa VIX in opcije na vrednost indeksa VIX. Vrednost indeksa VIX prikazuje 30-dnevno pričakovano volatilnost indeksa S&P 500 in se izračuna s pomočjo nakupih in prodajnih opcij na vrednost indeksa S&P 500, ki se ne splačajo. Indeks S&P 500 je kapitalsko utežen delniški indeks 500 največjih ameriških podjetij, ki najbolj reprezentativno predstavljajo ameriški delniški trg. Prikazali smo, da je vlaganje v indeks S&P 500 dobra dolgoročna investicija. Negativna korelacija med spremembami vrednosti indeksov S&P 500 in VIX za vlagatelja predstavlja možnost, da ob padcu vrednosti indeksa S&P 500 z investicijo v indeks VIX zaščiti donosnost svojega portfelja.

• Language: Slovenian
• Keywords: volatilnost, ščitenje portfelja, indeks S&P 500, indeks VIX, indeksna terminska pogodba, indeksna opcija
• Work type: Final seminar paper
• Typology: 2.09 - Master's Thesis
• Organization: FMF - Faculty of Mathematics and Physics
• Year: 2021
• PID: 20.500.12556/RUL-132471
• UDC: 519.8
• COBISS.SI-ID: 82847491
• Publication date in RUL: 27.10.2021

Secondary language

• Language: English
• Title: Volatility-based derivates

Abstract

In this bachelor’s thesis, we have presented the VIX volatility index and financial instruments whose payoffs depend on the value of the VIX index; these are VIX futures and VIX options. The values of the VIX index represent the 30-day expected volatility of the S&P 500 index and are calculated using out-of-the-money call and put options on the S&P 500 index. The S&P 500 index is a capitalization-weighted stock index of the 500 largest American companies that best represents the American stock market. We showed that investing in the S&P 500 index is a good long-term investment. A negative correlation between changes in the S&P 500 and the VIX index allows investors to hedge against fluctuations in their portfolio in the event of a decline in the value of the S&P 500 by investing in the VIX.

• Keywords: volatility, portfolio hedging, S&P 500 index, VIX index, index futures, index options