Options with 2 underlyings

[Tsotne]

Can anyone state (point a link of) an option example with 2-3 underlying? Underlyings are preferred to be equity, or anything for which I can find a historical quotes. Thanks

 

[amanda.jayne]

Options on Gasoline Crack Spreads? Options on SPY?

 

[Tsotne]

Options on Gasoline Crack Spreads? Options on SPY?

Thank you for your response. Options on equity would be preferred since we have to model that option price and compare to actual one. And equity history is easily accessible. So I'm particularly interested in a call option with 2 (max 3) underlying.

 

[Dibbs]

Like chooser options ?

 

[Tsotne]

Like chooser options ?

No Dibbs. Not chooser options. Single option with 2 underlying. For example call option placed on Microsoft and Citigroup Stocks simultaneously. I just need the real example to see what the history of the underlying was and see the actual price of option.

 

[Tsotne]

Options on Gasoline Crack Spreads?

Gasoline Crack Spreads is depended on the difference between crude oil and petroleum products, the example of it would be much appreciated since we are modeling the dependence structure and falling intervals of underlying.

 

[financeguy]

there's always basket options and best-of / worst-of options, those are pretty common

 

[myampol]

Try the many Spread Options, e.g., Calendar Spread Options (CSOs) which are listed on various exchanges like the CME.
These exercise into a long position in one futures contract, and a short position in another. You should be able to find the prices for the underlying futures contracts quite easily.

Here are a few URLs to get you started:

Agricultural:

http://www.cmegroup.com/trading/agr...alendarSpreadOptionsGrainsOilseedProducts.pdf
http://www.cmegroup.com/trading/agricultural/grain-and-oilseed/corn-cso.html
http://www.cmegroup.com/trading/agricultural/grain-and-oilseed/grain-calendar-spreads-options.html
http://www.cmegroup.com/trading/agricultural/livestock/live-cattle-cso.html
http://www.cmegroup.com/trading/agricultural/livestock/lean-hog-cso.html

Interest rates:

http://www.cmegroup.com/trading/interest-rates/stir/Eurodollar-CSO.html
http://www.cmegroup.com/trading/interest-rates/stir/eurodollar_cso_contract_specifications.html

Oil and Gas:

http://www.cmegroup.com/rulebook/NYMEX/3/390.pdf
http://www.cmegroup.com/rulebook/NYMEX/3/391.pdf
http://www.cmegroup.com/trading/ene...r-spread-options_contract_specifications.html
http://www.cmegroup.com/trading/ene...l-gas_contractSpecs_options.html#prodType=01M

 

[Tsotne]

Thanks a lot all. @myampol thank you.

 

[Tsotne]

BTW, what is the minimum number of underlyings (beyond one) you have had experience with (or have seen some)

 

[financeguy]

i've seen anywhere between 2 and like 10+ .. the latter was a basket

 

[Tsotne]

i've seen anywhere between 2 and like 10+ .. the latter was a basket

Thanks for your response. We can't afford 10+ at this moment. Analyzing 10+ underlying with copulas is not the kind of hell we can handle within given time.

 

[financeguy]

Thanks for your response. We can't afford 10+ at this moment. Analyzing 10+ underlying with copulas is not the kind of hell we can handle within given time.

haha fair enough.. worst-of options with two or three underlyings are very common

 

[Tsotne]

Switching from 2 dimensional copula to 3 is not a very hard and unaffordable job. Once the pattern emerges we can extend it to 4-5... and more dimensions. Nut for analytical simplicity 2 and 3 are enough. Our first choice was CDOs but coudn't get the real data of underlyings and CDOs themselves. We've been suggested to look for index and the least one we can find is consisting of 30.

 

[Tsotne]

Still in need of equity bivariate options...

 

[financeguy]

You don't like worst of, best of, and basket? Those are common equity and FX correlation products.

 

[Tsotne]

You don't like worst of, best of, and basket? Those are common equity and FX correlation products.

Thanks. I need example, an option symbol to search for quote. I couldn't find the option symbol. It'll be fine if it is placed on anything you want:commodity, equity, FX, etc. I need symbol to look for its quote and its underlying quotes. Deadline is tomorrow...

Thanks

 

[financeguy]

Thanks. I need example, an option symbol to search for quote. I couldn't find the option symbol. It'll be fine if it is placed on anything you want:commodity, equity, FX, etc. I need symbol to look for its quote and its underlying quotes. Deadline is tomorrow...

Thanks

errr i can't really be of help there man sorry.. these are only OTC products as far as i know.. if you do end up finding any exchange traded multi asset options I'd be very interested to see as well .. maybe try an option on an ETF with as few constituents as possible or something

 

[Tsotne]

Thanks @financeguy. BTW, why is it problem to find the OTC products' historical quotes?

 

[Andy Nguyen]

Because the dealers will only send those runs to trading desks and counter-party they are doing business with. Normally, you ask someone to put you on the list and they will send you via Bloomberg emails with a no copy, no forward lock so another party can't receive them.
If you want to get data for your study, the best way is to get something that is on the exchange.