Читать книгу Applied Mergers and Acquisitions - Robert F. Bruner - Страница 95

Open derivatives positions of all kinds on global markets carry an enormous notional value. Of most interest to the analyst would be standardized derivatives contracts on corporate securities, particularly in the options and futures market. Of greatest interest here will be the implied volatility embedded in the pricing of these derivatives. Volatility is a measure of the uncertainty or risk that derivatives traders and investors perceive in the price of the underlying security. These securities are said to “trade on risk” rather than on price since the investor must make a judgment about risk in assessing the price of the security. One source of possible themes would be a cross-industry comparison of volatilities of players in an industry. Another possible source would be to examine the time trend of volatilities for players in an industry for any changes in the direction and magnitude of their risk trends.