Extra credit – Derivatives
Maximum points: 3
Final deadline: May 7th. Don’t wait until then. Exam week will be busy.
Create your own event study
Find a significant corporate event (earnings announcement, product launch, takeover bid, etc.) or
macroeconomic event (unemployment news announcement, Fed meeting, election, etc.) and analyze
how options or futures reacted to it.
Describe the event and explain why it mattered. Download historical pricing data for the underlying
asset (if applicable) and the derivative instrument(s) you are analyzing. You can use one or more
contracts, calls and puts with different expirations, futures, or even examine strategies, the choice is
yours, find what is most applicable and interesting in your situation. Bloomberg has option and futures
data, below are a few commands that might help. How did the instruments’ price react to the event? Is
it as you expected? What happened to implied volatility?
Write a maximum two-page report that is well organized with introduction and conclusion. Format it
neatly and reader friendly. Include price charts or tables as applicable. If you cite outside material,
include a reference list.
Helpful Bloomberg functions:
OMON – Option monitor
HP – Historical price
CN – Company news
DES – Description
QR – Trade/quote recap
CTM – exchange contracts (commodities and other derivatives)
OVME – option pricing calendar (Greeks, pricing, scenario tabs, backtesting)