Modeling and Performance of Certain Put-Write
Strategies

Abstract

Several authors have stated that put options on the S&P 500 Index in a particular moneyness and with a particular maturity seem to be systematically overpriced and that therefore certain put-write strategies outperform significantly. Motivated by these claims, the authors studied a large class of put-write strategies on the basis of historic option prices and under realistic trading conditions. This article reports on the performance and best parameter choices of these strategies for the period 1990 to 2010, as well as several sub-periods.