Resumo

OLIVARES AGUAYO, Héctor Alonso. Parachute strategy: hedging proposal for the Mexican stock market in the face the arrival of omicron. Anál. econ. [online]. 2022, vol.37, n.96, pp.119-139.  Epub 31-Out-2022. ISSN 2448-6655.  https://doi.org/10.24275/uam/azc/dcsh/ae/2022v37n96/olivares.

The objective of the research is to propose a better volatility hedging strategy with European financial options on the main index of the Mexican market (S&P BMV/IPC) that provides greater protection compared to traditional strategies in the face of the arrival of the omicron variant in Mexico. A short-term intertemporal analysis is performed considering monthly forecasts in the price of the S&P BMV/IPC through the SARIMAX econometric model for various traditional volatility strategies (straddle, strangle and butterfly) and for the proposed parachute strategy. The results show that the parachute strategy is empirically the best, and a viable alternative to face the future impacts caused by the omicron variant. As a limitation, commission costs are not considered in financial option contracts. The work is original because it glimpses the first discoveries of the o micron variant in the Mexican market. It is concluded that the parachute strategy is better compared to the traditional ones and provides greater protection against drastic changes in the future price of the S&P BMV/IPC.

Palavras-chave : COVID-19; investment; financial options.

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