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A Study on Impact of Non – Price Variables on the Value of Index Options

Author

Listed:
  • Prof. G.V. Chalam

    (CDC, Chairman Board of Studies Department of Commerce & Business Administration, Acharya Nagarjuna University, Guntur, India.)

  • Mr. R. Sreenivasa Rao

    (Asst. Professor, Dept. Management Studies, MBA Programme, Sir C.R.Reddy College, West Godavari, India.)

Abstract

An attempt is made in this paper to know how transactions in options market segment indicate the future movements of index points by applying the method of open interest and trading contracts volume (Bhuyan and Yan, 2002) based transactions. These transactions do not involve any monetary exchange. So, these transactions are called non-price variables. The study period (2011 to 2013) is divided into four sub-periods of six months each for the purpose of explaining the impact of non-price variables on the index points. The results have proved this argument. The study helps prospective investors to know the movements of index points, ideal strike price of underlying security and to formulate the profitable trading strategies.

Suggested Citation

  • Prof. G.V. Chalam & Mr. R. Sreenivasa Rao, 2014. "A Study on Impact of Non – Price Variables on the Value of Index Options," Indian Journal of Commerce and Management Studies, Educational Research Multimedia & Publications,India, vol. 5(1), pages 83-90, January.
    • Handle: RePEc:aii:ijcmss:v:5:y:2014:i:1:p:83-90
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    References listed on IDEAS

    as
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    4. Cao, H Henry, 1999. "The Effect of Derivative Assets on Information Acquisition and Price Behavior in a Rational Expectations Equilibrium," The Review of Financial Studies, Society for Financial Studies, vol. 12(1), pages 131-163.
    5. Manaster, Steven & Rendleman, Richard J, Jr, 1982. "Option Prices as Predictors of Equilibrium Stock Prices," Journal of Finance, American Finance Association, vol. 37(4), pages 1043-1057, September.
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    Full references (including those not matched with items on IDEAS)

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