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The Value at Risk of Selling Option on Crude Oil West Texas Intermediate

ETIKONOMI · Vol. 18 No. 1 (2019) · hlm. 105–120

DOI
10.15408/etk.v18i1.7319
ISSN
2461-0771, 1412-8969
Terbit
2019-04-17
Penerbit
Faculty of Economic and Business, Universitas Islam Negeri Syarif Hidayatullah Jakarta
Bahasa
eng

Abstrak

The Value at Risk (VaR) of selling the option on crude oil WTI has not widely known, whereas this trade is the most significant transactions in the world. This study aimed to analyze the Value at Risk (VaR) of the far out of the money (FOTM) and the in the money (ITM) strike position of selling option on crude oil WTI investment. The monthly option premium return data ranging from April 1984 to May 2017 was analyzed by the ARCH-GARCH and VaR method to get the risk of FOTM and ITM strike position. Empirical results indicate that the risk of the FOTM strike was much lower than the ITM strike positions. It meant that selecting the FOTM strike position of the selling option on crude oil WTI investment could be considered by stakeholders because its risk was much lower than the ITM strike position.JEL Classification: C32, G19, G32

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  • IPB University
  • Bank Indonesia
  • Universitas Trisakti
  • Maranatha Christian University
  • Universitas Dian Nusantara
  • Indonesia Open University
  • Perbanas Institute
  • Organisasi lain
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Rekan penulisOrganisasiArtikel bersama
Dedi Budiman HakimIPB University3
Rifki IsmalBank Indonesia2
Pamuji Gesang RaharjoIPB University2
Adler Haymans ManurungIPB University2
Heni HasanahIPB University2
Aviliani AvilianiPerbanas Institute2
SeTin SeTinMaranatha Christian University1
Yvonne Augustine SudibyoUniversitas Trisakti1
Ari PurwantiUniversitas Dian Nusantara1
Kepas Antoni Adrianus ManurungIPB University1
Idqan FahmiIPB University1
Arif Imam SurosoIPB University1
Rini Dwiyani HadiwidjajaIndonesia Open University1
Illah SailahIPB University1
Tatik MariyantiUniversitas Trisakti1
Lokot Zein NasutionUniversitas Trisakti1
Anny RatnawatiIPB University1
Yati NuryatiAfiliasi tidak diketahui1
Trias AndatiIPB University1
Astoeti Wahjoe WidiartiBank Indonesia1
Farida FaridaSTIKES Hutama Abdi Husada1
Nunung R NuryartonoIPB University1
Eka IntanBank Indonesia1
Syamsul Hidayat PasaribuIPB University1
Nadiah HidayatiIPB University1
Tanti NoviantiIPB University1
Faizal IrvansyahIPB University1
Andrea Emma PravitasariIPB University1
Ernan RustiadiIPB University1
Sri WahyuniIPB University1
Reza MustafaAfiliasi tidak diketahui1
Irfan Syauqi BeikIPB University1
SuhendiIPB University1

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Sumber metadata: OAI-PMH (metadata jurnal) http://journal.uinjkt.ac.id/index.php/etikonomi/oai, pertama di-harvest 8 Nov 2026, terakhir terlihat 8 Nov 2026.
Metadata asli (oai_dc) 
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	<dc:title xml:lang="en">The Value at Risk of Selling Option on Crude Oil West Texas Intermediate</dc:title>
	<dc:creator xml:lang="en">Asianto, Abitur</dc:creator>
	<dc:creator xml:lang="en">Siregar, Hermanto</dc:creator>
	<dc:creator xml:lang="en">Sembel, Roy</dc:creator>
	<dc:creator xml:lang="en">Maulana, Tubagus Nur Ahmad</dc:creator>
	<dc:subject xml:lang="en">value at risk</dc:subject>
	<dc:subject xml:lang="en">option</dc:subject>
	<dc:subject xml:lang="en">ARCH-GARCH</dc:subject>
	<dc:description xml:lang="en">The Value at Risk (VaR) of selling the option on crude oil WTI has not widely known, whereas this trade is the most significant transactions in the world. This study aimed to analyze the Value at Risk (VaR) of the far out of the money (FOTM) and the in the money (ITM) strike position of selling option on crude oil WTI investment. The monthly option premium return data ranging from April 1984 to May 2017 was analyzed by the ARCH-GARCH and VaR method to get the risk of FOTM and ITM strike position. Empirical results indicate that the risk of the FOTM strike was much lower than the ITM strike positions. It meant that selecting the FOTM strike position of the selling option on crude oil WTI investment could be considered by stakeholders because its risk was much lower than the ITM strike position.JEL Classification: C32, G19, G32</dc:description>
	<dc:publisher xml:lang="en">Faculty of Economic and Business, Universitas Islam Negeri Syarif Hidayatullah Jakarta</dc:publisher>
	<dc:date>2019-04-17</dc:date>
	<dc:type>info:eu-repo/semantics/article</dc:type>
	<dc:type>info:eu-repo/semantics/publishedVersion</dc:type>
	<dc:type xml:lang="en">Peer-reviewed Article</dc:type>
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	<dc:format>application/pdf</dc:format>
	<dc:identifier>https://journal.uinjkt.ac.id/index.php/etikonomi/article/view/7319</dc:identifier>
	<dc:identifier>10.15408/etk.v18i1.7319</dc:identifier>
	<dc:source xml:lang="en">ETIKONOMI; Vol. 18 No. 1 (2019); 105-120</dc:source>
	<dc:source>2461-0771</dc:source>
	<dc:source>1412-8969</dc:source>
	<dc:language>eng</dc:language>
	<dc:relation>https://journal.uinjkt.ac.id/index.php/etikonomi/article/view/7319/pdf</dc:relation>
	<dc:relation>https://journal.uinjkt.ac.id/index.php/etikonomi/article/view/7319/pdf_1</dc:relation>
	<dc:rights xml:lang="en">Copyright (c) 2019 ETIKONOMI</dc:rights>
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