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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.
TOPICS: Mutual funds/passive investing/indexing, options, performance measurement
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In this issue
Strategies
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- Article
- Abstract
- THE SETUP FOR TESTING THE STRATEGIES
- CHOICE OF PARAMETERS
- CONCRETE EXPERIMENTAL PARAMETERS
- OVERVIEW AND DISCUSSION OF SELECTED TEST RESULTS
- PUT-WRITE STRATEGIES UNDER EXTREME MARKET CONDITIONS, ESPECIALLY THE CRISIS OF 2008
- OUTLOOK, OPEN PROBLEMS, FURTHER FIELDS OF FUTURE RESEARCH
- SUMMARY
- ENDNOTES
- REFERENCES
- Info & Metrics
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