Levered and inverse VIX ETP option contract adjustments: No harm, no foul?

Autor:	Robert E. Whaley, Angel Tengulov
Rok vydání:	2020
Předmět:	010407 polymers Option contract Actuarial science 050208 finance Leverage (finance) 05 social sciences Economics Econometrics and Finance (miscellaneous) Stock options Monetary economics Corporate action 01 natural sciences 0104 chemical sciences Product (business) Harm Issuer Accounting 0502 economics and business Value (economics) Business Finance
Zdroj:	Accounting & Finance. 60:3253-3277
ISSN:	1467-629X 0810-5391
DOI:	10.1111/acfi.12702
Popis:	The terms of exchange‐traded stock option contracts are usually adjusted when corporate actions take place. These adjustments are made to safeguard the value of the outstanding option contracts. Recently, a new type of corporate event has appeared − levered and inverse exchange‐traded product issuers are reducing leverage ratios with increased frequency. While such changes directly affect option values, no contract adjustments are made, resulting in windfall transfers of wealth from outstanding long to outstanding short option holders. In one instance alone, the transfer was more than $US100 million. To remedy the problem, we offer a simple contract adjustment procedure.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d86c2d1b2b5442f2a4fc45ceb110a315 https://doi.org/10.1111/acfi.12702 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
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