Abstract In 2008, the S&P 500 experienced a drawdown of about 50% from peak to trough.
Many assets which are typically considered effective equity diversifiers also faced …

This study introduces a model that identifies relationships between stylized features on S&P
500, VIX and derivatives on VIX. The paper considers a specification with discontinuous …

Typical covered call strategies collect the equity and volatility risk premiums but also embed
exposure to a naive equity reversal strategy that is uncompensated. This article presents a …

We provide detailed descriptions, including over 550 mathematical formulas, for over 150
trading strategies across a host of asset classes (and trading styles). This includes stocks …

A feasible asset allocation framework for the post 2008 financial world Asset allocation has
long been a cornerstone of prudent investment management; however, traditional allocation …

Trading of exchange-listed, SEC-regulated options contracts began with the launch of the
Chicago Board Options Exchange®(CBOE®) in 1973—the same year the landmark Black …

This study compares the performance of a conventional buy‐write (or covered call writing)
and a dynamic buy‐write strategy. The conventional strategy generally enhances portfolio …

This paper reviews the performance and profitability of different option strategy benchmark
indices provided by the CBOE. Using different performance approaches, I show that …

We examine the performance of the buy-write option strategy (BWS) on the Australian Stock
Exchange and analyse whether such an investment opportunity violates the efficient market …

Purpose The purpose of this paper is to examine whether superior risk-adjusted returns can
be generated using monthly covered call option strategies in large capitalized Australian …