Ruas, João PedroCardoso, Catarina Isabel Goulart2023-02-012023-02-0120212021http://hdl.handle.net/10451/56089Tese de mestrado, Matemática Financeira, 2021, Universidade de Lisboa, Faculdade de CiênciasAn option consists in a financial contract between two parties, the buyer and the seller. These types of contracts provide its holder the right (but not the obligation) to buy or to sell a certain pre-established quantity of the underlying, under a pre-established price condition within a determined period, as described in Black and Scholes [2]. As for the seller of the option, if the buyer decides to exercise the contract, he must deliver or acquire the underlying asset at the pre-established conditions of the contract. Back in 2001, Coval and Shumway [5] provided the first ever published paper focused on the returns of option contracts. But does their methodology/propositions still hold with a more up-to-date database? Do option returns react differently if the market is growing or crashing? In this thesis we implement the method of calculation for options returns from Coval and Shumway [5] on the S&P500 index options over a 15-year period, from January 2004 to April 2019. During this period we identify three Bull cycles and three Bear cycles on the financial markets by analysing the evolution of the S&P500 prices. We find similar results as the ones found in Coval and Shumway [5] and analyse the daily option returns under the index. We also make a more detailed analysis in what are the main discrepancies between the returns of Call and Put options in Bull vs Bear cycles.engRetornos de opçõesMercados BullMercados BearOpções sobre S&P500Teses de mestrado - 2021master thesis202946355