A Study on Impact of Non – Price Variables on the Value of Index Options
Keywords:
Open interest, Option, Strike Price, Trading Volume, Underlying securityAbstract
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.
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