While the options market may be intimidating for a beginner, having the right tools can help improve the outcome of their investments. This project aims to develop a tool that uses time-series analysis and forecasting to model the future demand of S&P 500 and AAPL options contracts. The open interest of these contracts will be analyzed using various models such as AR, ARIMA, Neural Networks, and VAR, along with the put-call ratio. The goal is not to make buy or sell recommendations, but alert the user when money is flowing into a security or index. Of all the models, the use of the ARMA model provides the best results for predicting the open interest in contracts for these specific symbols.
Dawkins, Jeremy; Morris, Alexy; Gipson, Jacob; and Valizadeh, Masoud
"Following the Crowd: Beginners Investors Guide to the Options Market,"
SMU Data Science Review: Vol. 7:
1, Article 7.
Available at: https://scholar.smu.edu/datasciencereview/vol7/iss1/7
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