Predviđanje budućeg kretanja američkog tržišta dionica na temelju analize opcija na Exchange Traded Fund SPY

master's thesis

• Title (english): Forecasting American stock market trend based on analysis of option contracts on Exchange Traded Fund SPY
• Author: Josip Žitković
• Mentor: Silvije Orsag (mentor)
• Committee member: Lidija Dedi (predsjednik povjerenstva)
• Committee member: Davor Zoričić (član povjerenstva)
• Granter: University of Zagreb; Faculty of Economics and Business; (Department of Managerial Economics); Zagreb
• Defense date and country: 2022-09-13, Croatia
• Scientific / art field, discipline and subdiscipline: SOCIAL SCIENCES; Economics; Finance

Abstract

U današnjem svijetu postoje brojni načini investiranja lako dostupni svakom pojedincu i
institucionalnom investitoru. Tržišta izvedenica, predvođena opcijama predstavljaju jedan od
najdinamičnijih aspekata financijskih tržišta današnjice. Opcije, zbog svoje velike uloge u
tržišnim špekulacijama, uvelike oblikuju tržišnu sliku i očekivanja investitora o budućim
kretanjima tržišnih cijena. Glavni cilj rada je ispitati mogućnosti korištenja situacije na tržištu
opcija kao temelja prognoze kretanja buduće cijene imovine vezane u opcijama. U analizu
opcija se uzimaju opcije na ETF SPY, jedan od najvećih i najznačajnijih predstavnika skupine
ETF fondova, koji će poslužiti kao predstavnik cjelokupnog američkog tržišta dionica zbog
dionica koje čine njegov portfelj sastavljen po uzoru na S&P 500 indeks. U radu se nastoji
ispitati točnost prognoze kretanja cijene udjela ETF-a SPY na temelju analize opcija izvedenih
na taj ETF. Prognozu uz pomoću opcija će pratiti odgovarajuća prognoza proizašla iz tehničke
analize tržišne cijene samog udjela, kao i fundamentalne analize sastavnica udjela i
cjelokupnog tržišnog okruženja. Promatranje obuhvaća razdoblje od 23. kolovoza 2021.
godine do 19. studenog 2021., a promatrane su tri skupine opcija, datuma isteka redom: 17.
rujna, 15. listopada i 19. studenog. Opcije su promatrane putem platforme za trgovanje Trader
Workstation brokera Interactive Brokers, dok je cijena udjela promatrana putem stranice
Yahoo! Finance. Kod analize opcija, promatrani su parametri: volatilnost, vrijeme do isteka,
volumen trgovanja, otvorene pozicije u opcijama. Pri tehničkoj analizi korišteni su indikatori
Relative Strength Index (RSI), Exponential Moving Average (EMA) i Moving Average
Convergence Divergence (MACD). Za potrebe fundamentalne analize sagledana je cjelokupna
globalna politička i ekonomska situacija, kao i glavni statistički pokazatelji cijene samog
udjela fonda. Ispitivanjem kombinacije dviju strana prognoza, rezultati su pokazali kako je
prognoza na temelju opcija uspješna uz odgovarajuću fundamentalnu i tehničku analizu
samog udjela. Prognoza na temelju opcija točno prognozira smjer kretanja cijene udjela, no za
procjenu intenziteta pomaka cijene na tržištu treba koristiti i odgovarajuću kombinaciju
tehničke i fundamentalne analize.

Abstract (english)

In today's world, there are many ways of investing which are easily accessible to individual
and institutional investors. The derivatives market, with options as their flagship, represents
one of the most dynamic aspects of financial markets today. Since options are used for
speculations on market price movements, they shape the investors' expectations on how the
future price movements may look like, and therefore, shape the general market picture. The
main goal of this paper is to examine the possibility of using options market analysis as the
bedrock for forecasting future market price movements. The options analysed in this paper
include options on ETF SPY, which is one of the biggest ETFs today. SPY's portfolio is
modeled to match the S&P 500 Index, so it will be used as a representative of the American
stock market as a whole. In this paper, the accuracy of the forecast using the options on ETF
SPY is tested. Observing the market situation started on August 23rd, 2021 and lasted until
19th of November the same year. Three groups of options were observed with different
expiration dates: 17th of September, 15th of October and 19th of November. Options were
observed through the trading platform Trader Workstation of Interactive Brokers, while the
price movement of the fund's shares was observed through the charts on the Yahoo! Finance
website. The parameters that were observed in the options analysis were: trading volume,
open interest, time until expiration and implied volatility. For technical analysis, indicators
like Relative Strength Index (RSI), Exponential Moving Average (EMA) and Moving Average
Convergence Divergence (MACD) were used. For the purposes of fundamental analysis,
global political and economic evaluation has been made, along with the analysis of the main
statistical indicators. Testing of both sides of the forecast has shown that the forecast based on
options analysis is successful with the correct usage of technical and fundamental analysis.
Forecast based only on options analysis will result in the correct prediction of the market
movement, but the intensity of the movement can only be more precisely predicted with the
appropriate technical and fundamental analysis.

• Keywords: opcije; predviđanje; Exchange Traded Fund SPY; implicirana volatilnost
• Keywords (english): options; forecast; Exchange Traded Fund SPY; implied volatility
• Language: croatian
• URN:NBN: urn:nbn:hr:148:532477
• Study programme: Title: Business Economics; Study programme type: university; Study level: integrated undergraduate and graduate; Academic / professional title: magistar/magistra ekonomije (magistar/magistra ekonomije)
• Type of resource: Text
• File origin: Born digital
• Access conditions: Open access
• Created on: 2022-09-13 14:20:00