Matthias is head of Analytics & Quantitative Modelling(AQM) in Investment Solutions at UBS Asset Management, the global lead for sentiment analytics at UBS Group, and a lecturer at the University of Zurich. Previously, he was Chief Investment Officer at FLYNT Bank AG, has worked as quantitative strategist in the CIO Office at UBS Wealth Management, as FX and rates trader at UBS Investment Bank, as commercial banker at Deutsche Bank, and as economist at KOF Swiss Economic Institute. Matthias holds a Ph.D. in applied macroeconomics and behavioral finance from ETH Zurich, a Master of Science from Oxford University and two Bachelor of Arts degrees from the American University of Paris. Matthias has published his research in various academic journals, such as the Journal of Portfolio Management, Finance Research Letters, Journal of Derivatives, and Journal of Behavioral Finance, among others.
Volatility aversion in the options market based on news sentiment
The author identifies and explains asymmetric reactions in the implied volatility of S&P 500 Index options across the term structure based on news sentiment. The asymmetry of the reaction is more pronounced for fear (proxied by put options) than for greed (proxied by call options). This asymmetry is termed factor volatility aversion, which is more pronounced the shorter the time to maturity of the option.