Data
Investor Intelligence Sentiment Data
S&P 500 index
Option metrics
Plan
To start:
- (Done) Plot the IV difference and S&P 500 index in the same graph. Use only deep-out-of-the money and out-of-the money puts and calls on sentiment. Do not worry about at-the-money or (deep)in-the-money options.)
- (Done) Plot the IV difference and the VIX in the same graph.
- (Done) The same for short-term maturity options.
- (Done) Calculate correlations between the differences in IV estimated from deep-out-of-the money and out-of-the money puts and calls on sentiment.
- (Done) The same with short maturity options.
- The same with long maturity options - probably 100 to 360 days.
- Regressions: to think about. I like the approach of Whaley (2008)
- Trading strategy