News & Events
Stock Volatility in 2024 Hasn’t Been This Low in Five Years
November 26, 2024Market volatility in 2024 has remained surprisingly low despite global tensions and economic shifts, with the VIX averaging just 15.5 points—the lowest since 2019. “The VIX reflects the macroeconomic uncertainty embedded in the economy,” says Garrett DeSimone, Ph.D., Head of ...
Read moreCan sustainable divesting pressure companies to improve their environmental profiles?
November 12, 2024In his latest research, Dr. George Skiadopoulos, Professor of Finance at the University of Piraeus and Queen Mary University of London, presents a pioneering study on how institutional investors' climate considerations influence firms' financial and environmental profiles. Leveraging advanced data ...
Read moreBuybacks, FOMO, ‘Vanna Tailwind’ Prime Stocks for Year-End Rally
October 31, 2024"The vanna effect may play a similar role in propelling the market post-elections as it did in 2020, says Garrett DeSimone, head of quantitative research at OptionMetrics. 'The idea is that volatility has been priced higher due to hedging against ...
Read moreEquity Options Are Trading as If the Market Is Exiting a Crisis
October 17, 2024“'Generally, a larger gap is often a bullish signal over medium-term horizons, like three to six months,' said Garrett DeSimone, head of quantitative research at OptionMetrics. 'This is because the market tends to price in rising volatility risk, which often ...
Read moreThe Futures Rundown 7: The Trouble With Futures Prices
October 17, 2024Brett Friedman of Winhall Risk Analytics, an OptionMetrics contributor, appears on "The Futures Rundown 7: The Trouble with Futures Prices" with host Mark Longo, where they analyze the current futures market and pricing methodology. Read the Full Podcast Here
Read moreOptionMetrics IvyDB Implied Dividend Data Product Projects US Security Implied Dividends Two Years into Future Using Options Sentiment
October 2, 2024OptionMetrics is pleased to announce the release of IvyDB Implied Dividend. This new dataset uses options pricing data to provide forward-looking dividend projections for optionable single-name securities in the US, two years into the future. This forward looking dividend data ...
Read moreFutures: Not All Price Series Are the Same!
October 1, 2024Not all continuous futures prices series are the same. Depending on how they are constructed, misleading analysis may result. In this month’s blog, Brett Friedman reviews different price curve method. Read Full Blog Here
Read moreStock Options Perspective with Garrett DeSimone, PhD
September 24, 2024OptionMetrics' Head Quant Garrett DeSimone is featured on The Quant/Financial Engineering Podcast with Professor Zoro of Lehigh University discussing tail hedging, out-of-the-money puts, fat tails, and long-term options. Listen to Podcast Here.
Read moreTrading in popular zero-day options dried up during Monday’s market panic
August 14, 2024On Monday, zero-day options (0DTE) trading linked to the S&P 500 decreased to 26% of total volume, down from 50%, as U.S. stocks experienced their worst session in two years. This change signals an increasing preference for longer-term hedges in ...
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