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Interpretation of Czech FX Options

Author

Listed:
  • Martin Cincibuch
  • Pavel Bouc

Abstract

We describe the Czech koruna option market and explore the behaviour of option prices during three eventful periods of the history of the Czech koruna. We point out their forward-looking nature and also show how implied risk neutral distribution might be used for monitoring and interpretation of market sentiment. Finally, we analyse the predictive power of the at-the-money-forward implied volatility. Our results for koruna options are consistent with results published for other currencies and show the efficiency of the market.

Suggested Citation

  • Martin Cincibuch & Pavel Bouc, 2001. "Interpretation of Czech FX Options," Archive of Monetary Policy Division Working Papers 2001/36, Czech National Bank.
    • Handle: RePEc:cnb:mpaper:2001/36
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    File URL: https://www.cnb.cz/export/sites/cnb/en/economic-research/.galleries/research_publications/mp_wp/download/wp36_01.pdf
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    Cited by:

    1. Jesús Crespo Cuaresma & Tomáš Slacík, 2010. "Could Markets Have Helped Predict the Puzzling Exchange Rate Path in CESEE Countries during the Current Crisis?," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 1, pages 32-48.
    2. Martin Cincibuch, 2002. "Distributions Implied by Exchange Traded Options: A Ghost’s Smile?," CERGE-EI Working Papers wp200, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    3. Wilkens, Sascha & Roder, Klaus, 2006. "The informational content of option-implied distributions: Evidence from the Eurex index and interest rate futures options market," Global Finance Journal, Elsevier, vol. 17(1), pages 50-74, September.
    4. Jesús Crespo Cuaresma & Adam Gersl & Tomáš Slačík, 2010. "Global Financial Crisis and the Puzzling Exchange Rate Path in CEE Countries," Working Papers IES 2010/24, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2010.

    More about this item

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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