The implied volatility of a sports game

Polson Nicholas G. and Stern Hal S. ()
Additional contact information
Polson Nicholas G.: University of Chicago Booth School of Business, Chicago, IL, USA
Stern Hal S.: Department of Statistics, University of California, Irvine, CA, USA

Journal of Quantitative Analysis in Sports, 2015, vol. 11, issue 3, 145-153

Abstract: In this paper we provide a method for calculating the implied volatility of the outcome of a sports game. We base our analysis on Stern’s stochastic model for the evolution of sports scores (Stern, H. S. 1994. “A Brownian Motion Model for the Progress of Sports Scores.” Journal of the American Statistical Association 89:1128–1134.). Using bettors’ point spread and moneyline odds, we extend the model to calculate the market-implied volatility of the game’s score. The model can also be used to calculate the time-varying implied volatility during the game using inputs from real-time, online betting and to identify betting opportunities. We illustrate our methodology on data from Super Bowl XLVII between the Baltimore Ravens and the San Francisco 49ers and show how the market-implied volatility of the outcome varied as the game progressed.

Keywords: implied volatility; moneyline odds; point spread; super bowl (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://doi.org/10.1515/jqas-2014-0095 (text/html)
For access to full text, subscription to the journal or payment for the individual article is required.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bpj:jqsprt:v:11:y:2015:i:3:p:145-153:n:4

Ordering information: This journal article can be ordered from
https://www.degruyter.com/journal/key/jqas/html

DOI: 10.1515/jqas-2014-0095

Access Statistics for this article

Journal of Quantitative Analysis in Sports is currently edited by Mark Glickman

More articles in Journal of Quantitative Analysis in Sports from De Gruyter
Bibliographic data for series maintained by Peter Golla ().