WTI Crude Oil Option-Implied VaR and CVaR: An Empirical Application

Barone‐Adesi, Giovanni; Legnazzi, Chiara; Sala, Carlo

doi:10.2139/ssrn.2737368

Cited by 5 publications

(2 citation statements)

References 28 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Recently, there has been much interest also in other functionals of the risk neutral distribution. Barone Adesi (2016) suggested to consider implicit Value at Risk and implicit Expected Shortfall, and extensive empirical analysis on S&P500 Index and WTI crude oil options have been provided in Barone Adesi et al (2016a) and Barone Adesi et al (2016b). Elyasiani et al (2016) introduced a risk-asymmetry index based on the normalized difference of positive and negative corridor implied volatilities and studied its empirical properties on FTSE MIB index options.…”

Section: Introductionmentioning

confidence: 99%

Implicit expectiles and measures of implied volatility

Bellini

Mercuri

Rroji

2018

Quantitative Finance

View full text Add to dashboard Cite

We show how to compute the expectiles of the risk neutral distribution from the prices of European call and put options. Empirical properties of these implicit expectiles are studied on a dataset of closing daily prices of FTSE MIB index options. We introduce the interexpectile difference ∆τ (X) := eτ (X) − e1−τ (X), for τ ∈ (1/2, 1], and suggest that it is a natural measure of the variability of the risk neutral distribution. We investigate its theoretical and empirical properties and compare it with the VIX index computed by CBOE. We also discuss a theoretical comparison with implicit VaR and CVaR introduced in Barone Adesi (2016).

show abstract

Section: Introductionmentioning

confidence: 99%

Implicit expectiles and measures of implied volatility

Bellini

Mercuri

Rroji

2018

Quantitative Finance

View full text Add to dashboard Cite

show abstract

“…The VaR value of this strike is 0.26 that is much lower than those of ITM strike values. Barone-Adesi et al, (2016) extracted the 2014-2015 daily option implied VaR and CVaR from the WTI prices and the writing options. They were able to anticipate unexpected changes in the distribution of returns, which would have been unpredictable with standard models.…”

mentioning

confidence: 99%

The Value at Risk of Selling Option on Crude Oil West Texas Intermediate

et al. 2019

View full text Add to dashboard Cite

The Value at Risk (VaR) of selling option on crude oil WTI has not been widely known, whereas this trade is the largest transactions in the world. This study aimed to analyze the Value at Risk (VaR) of the far out of the money (FOTM) and the in the money (ITM) strike position of selling option on crude oil WTI investment. The monthly option premium return data ranging from April 1984 to May 2017 was analyzed by the ARCH-GARCH and VaR method to get the risk of FOTM and ITM strike position. Empirical results indicate that the risk of the FOTM strike was much lower than the ITM strike positions. It meant that selecting the FOTM strike position of the selling option on crude oil WTI investment could be considered by stakeholders because its risk was much lower than the ITM strike position.

show abstract