Model

Moneyness ( $K/P$ )

Total (%)

0.96 - 0.99

0.99 - 1.01

1.01 - 1.03

1.03 - 1.05

Bootstrapping

Overpricing

0.80

3.12

14.19

5.29

23.40

Underpricing

1.81

3.84

0.13

0.05

5.83

ARMA-GARCH

Overpricing

0.19

1.82

9.20

4.37

15.58

Underpricing

1.79

3.96

0.36

0.30

6.41

Adjusted VIX

Overpricing

0.93

2.85

11.28

4.58

19.65

Underpricing

1.92

3.63

0.04

0.10

5.70

Average

Overpricing

0.64

2.60

11.55

4.74

19.53

Underpricing

1.84

3.81

0.53

0.15

6.33