دانلود رایگان مقاله صرف ریسک لحظه ای بالاتر بازار نفت خالص: تقسیم شرطی صعودی و نزولی

Abstract

Relying on options written on the USO, an exchange traded fund tracking the daily price changes of the WTI light sweet crude oil, we extract variance and skew risk premiums in a model-free way. We further decompose these risk premiums into downside and upside conditional components and show that they can be partially explained by USO excess returns and, more importantly, these decomposed risk premiums enable a much better prediction of USO excess returns than the standard, or undecomposed, variance and skew risk premiums. A comparison with existing results for the equity index option market further confirms the usefulness of the decomposition for the crude oil market.

5. Conclusion

In this work we provide a comprehensive analysis of the total and decomposed variance and skew risk premiums for the USO, an exchange traded fund tracking the daily price changes of the WTI light sweet crude oil. So far, most of the literature mainly discusses the use of decomposed variance risk premiums for the S&P500 option market. We contribute to the literature by extending the analysis of decomposed variance risk premiums to the crude oil market, but also extend the discussion to skew risk premiums. To build these quantities we rely on two key works, the decomposition proposed by [13] for the variance risk premium and the computation methodology for variance and skew risk premiums developed by [14].