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DER 07.2 Stock index derivatives

The derivatives valuation/risk management principles developed in previous section can be applied straightforwardly to stock index derivatives. The discrete income version of the cost of carry is applied since cash dividends on the index are lumpy.

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• Required reading

  • Whaley, 2006 Ch. 14 Stock index products: Futures and options

  • Whaley, 2006 Ch. 15 Stock index products: Strategy-based

  • Bollen and Whaley 2004 Does net buying pressure affect the shape of implied volatility functions? JF

  • CME average daily volume report Oct 2023.xlsx

  • CME futures Oct 2023.pdf

  • CME futures options Oct 2023.pdf

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• Lecture notes

  • Slides

  • Supporting files​

    • Index return statistics.xlsx

    • S&P 500 index dividends.xlsx

    • S&P 500 hedge.xlsx

    • Stock portfolio hedge.xlsx

    • Oil hedge.xlsx

    • Portfolio insurance.xlsx

    • Protected equity notes.xlsx

    • HSBC Buffered return enhanced note.pdf

    • HSBC Buffered return enhanced note.xlsx

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