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

Prof. G.V. Chalam and Mr. R. Sreenivasa Rao
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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.

Indian Journal of Commerce and Management Studies, 2014, vol. 5, issue 1, 83-90

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.

Keywords: Open interest; Option; Strike Price; Trading Volume; Underlying security (search for similar items in EconPapers)
Date: 2014
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