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This paper aims to provide the necessity to activate long-term exchange-traded derivatives (ETD) in Korea. In the era of aging, low interest rates and low economic growth, the investment demand for long-term financial products, and its hedging demand have steadily increased. Unfortunately, long-term ETD do not trade in Korea, and this study presents political suggestions to invigorate long-term ETD based on overseas cases and empirical analysis. Specifically, this study suggests the necessity to activate exchange traded funds (ETFs) options, long-term Korea treasury bond futures and options and long-term Volatility Index of Korea Composite Stock Price Index future and options. The introduction of those long-term ETD not only contributes to providing long-term investment and hedging vehicles but also reduces market inefficiencies in the Korean industry of ETFs, bonds and structured products.

Leveraged exchange traded funds (ETFs) have become increasingly popular since their introduction in 2006. In recent years, options on leveraged ETFs have been promoted as a means of enhancing returns and reducing risk. The purpose of this paper is to examine the interchangeability of S & P 500 ETF options with leveraged S & P 500 ETF options and to what extent these options allow investors to manage their risk exposure.

With increasing liquidity for these fund’s options, simple option strategies such as covered calls and protective puts can be implemented. This study derives call-call and put-put parity between options on the underlying index and the associated leveraged ETFs. The paper examines comparative measures of return and risk on the underlying indices, along with covered call and protective put positions.

Using the formulations derived, this study shows options on non-leveraged ETFs or on the underlying index can be substituted for leveraged ETF options. Empirical results suggest substituting options on leveraged ETFs with options on the underlying index or index ETF give comparable results, but can differ as the realized leverage ratio over time differs from projected values.

This study is the first to the authors’ knowledge that investigates option strategies on leveraged and inverse ETFs of equity indices. It is also the first to derive call-call and put-put parity relations between options on ETFs and related leveraged and inverse ETFs. The results contribute to securities issuance, investment strategies, and option parity relations.

This paper uses propensity score matching techniques to evaluate the impact of new deal options on the chances of exiting unemployment for a cohort of entrants to the new deal for young people in Scotland between September 1998 and February 1999. The paper uses information from the new deal evaluation database and from a two‐stage survey based on a random sample of the cohort. It finds that the employment option was the most effective of the new deal options, both in terms of increasing the likelihood of exit from unemployment by February 2001 and increasing the amount of time spent off by JSA from February 2000 to February 2001. Remaining on the Gateway was the next most effective route for clients to take with regard to reducing the amount of time spent on JSA and increasing the likelihood of JSA exit.

Using volatility cones as the estimate of actual volatility instead of GARCH models, the purpose of this paper is to explore whether volatility arbitrage strategy can provide positive profits and how the transaction costs existed in the real market affect the effectiveness of volatility arbitrage strategy.

A number of hedging approaches proposed to improve the hedging results and final returns of Black-Scholes model are analyzed and compared.

The general finding is that volatility arbitrage strategy can provide satisfactory returns based on the samples in Chinese market. Regarding transaction costs, the variable bandwidth delta and delta tolerance approach showed better results. Besides, choosing futures together with ETFs as hedging underlying can increase the VaR for better risk management.

This paper offers a new method for volatility arbitrage in Chinese financial market.

This paper researches the profitability of the volatility arbitrage strategy on ETF 50 options using volatility cones method for the first time. This method has advantage over the point-wise estimation such as GARCH model and stochastic volatility model.

The purpose of this summary is to provide excerpts of selected Financial Industry Regulatory Authority (FINRA) regulatory notices and disciplinary actions issued in July and August 2009 and a sample of disciplinary actions during that period.

The paper provides excerpts from FINRA Regulatory Notice 09‐42, Variable Life Settlement Transactions; 09‐49, Conflicts of Interest; 09‐52, Trade Reporting; and 09‐53, Non‐traditional ETFs.

(09‐42) FINRA is concerned about variable life settlements because they involved materially different factors and raise materially different issues than more widely held securities such as stocks or bonds. (09‐49) Rule 2720 prohibits a member firm with a conflict of interest from participating in a public offering, unless the nature of the conflict is prominently disclosed and certain other specific requirements are met. (09‐52) Effective January 11, 2010, firms that execute OTC trades in equity securities during the hours that a FINRA trade reporting facility is closed must report the trade within 15 minutes of the opening of the facility. (09‐53) Effective December 1, 2009, FINRA is implementing increased customer margin requirements for leveraged ETFs and uncovered options overlaying leveraged ETFs.

These are direct excerpts designed to provide a useful digest for the reader and an indication of regulatory trends. The FINRA staff are aware of this summary but have neither reviewed, nor edited it. For further detail as well as other useful information, the reader should visit www.finra.org.

In this study, the author aims to examine the behavior of QQQ options at the time of the QQQ move from AMEX to NASDAQ on December 1, 2004. The author addresses the questions: is there a relation between hedging and speculation, if such a relation exists considering the improvement in market trading efficiency after the QQQ move did the relation between speculative demand for options and hedging demand for options strengthen at the time of the QQQ move, if such a relation exists does hedging activity follow speculative activity.

The author uses the fact that deep-out-of-the-money puts are used for hedging, whereas deep-out-of-the-money calls are used for speculation. The author uses spectral analysis on QQQ options in the attempt to answer the research question. The author uses spectral analysis because the data in the study are non-normally distributed which would make parametric testing meaningless.

The author finds that indeed the relation between speculative demand and hedging demand for options exists and strengthens after the consolidation of trading on NASDAQ and that hedging follows speculation. The fact that this relation exists is economically meaningful in that this is established for the first time empirically in support of the theoretical models predicting this relation's existence.

Market participants on both the speculation side of the investment spectrum, such as hedge funds, and hedging side of the investment spectrum, such as mutual funds and money managers, would be interested in this topic and the findings of this paper. The main contribution of this study is in examining the relation between differential demand for options by using the non-parametric tools of spectral analysis. This helps extend the understanding of exchange traded funds' (ETF') option behavior and contributes to this strand of the ETF literature.

This article outlines the strengths of applying ethnographic methods to policy evaluations, even to the study of exhaustively researched policies such as the New Deal for Young People (NDYP). Ethnography is understood as interdisciplinary, combining method and methodology into a perspective (Clifford, 1986) that looks at less conventional units of analysis, such as non-verbal expression and the symbolic use of objects and spaces. Four groups of findings from a study of the NDYP’s Voluntary Sector Option are outlined: the connotations of interviewing in the welfare to work context; institutional-disciplinary processes; deconstruction of dependency discourses and delivery space-time logistics. It is concluded that such a perspective is especially valuable in the context of normative social policies about which people have lay knowledge and common-sense beliefs (Brewer, 2000) and as such should be applied more widely to contemporary social policy evaluations.

The purpose of this study is to extend the work of DeFusco, Ivanov and Karels by examining pricing deviation of DIA, SPY and QQQQ on intradaily basis.

The DIA is designed to be one hundredth of the DJIA, the SPY is designed to be one tenth of the S&P 500 and QQQQ is designed to be one fortieth of the NASDAQ 100. This feature of ETFs requires the estimation of the difference between the proportional level of the index and the price of the ETF, which is the ETF pricing deviation.

The paper finds that the DIA, SPY and QQQQ pricing deviations are 0.0429, −0.0743 and 0.4298, respectively. The findings indicate that the prices of DIA and QQQQ are on average lower than the underlying indexes. SPY is the exception having a price which is higher than the theoretical price of the S&P 500 index. The author finds that this is due to the increased demand for the SPY. Additionally, the paper provides an explanation for the large change (increase) in the pricing deviation of QQQQ after December 1, 2004 which DeFusco, Ivanov and Karels could not explain. On December 1, 2004 QQQQ trading was consolidated on NASDAQ. The paper finds negative growth in the volume of QQQQ after December 1, 2004 indicating decrease in popularity of this ETF. The decrease in popularity of QQQQ might explain the increase in its pricing deviation.

The paper uses high frequency data in the analysis of pricing deviation which might be artificially deflating standard errors and thus inflating the t‐test significance values.

The paper contributes to the ongoing search in the finance literature of precision ETF performance metrics.