Explaining The Performance Of Index Option Put Write Strategies
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Explaining The Performance Of Index Option Put Write Strategies
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Author : Angelo Boutalikakis
language : en
Publisher:
Release Date : 2017
Explaining The Performance Of Index Option Put Write Strategies written by Angelo Boutalikakis and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
The returns from selling put options are often regarded as excessive and highly nonlinear in the movements of the underlying security. This work investigates these claims based on a range of simple strategies for S & P 500 options clustered along maturity, moneyness, and roll frequency using a self-developed computational simulation. The risk-adjusted performance does not support the hypothesis of overpriced puts. By investigating the results through multifactor models, I find evidence indicating that conventional models can explain the returns after all. Especially noteworthy is that correlations with bad states of the market, downside betas, strip the explanatory power of correlations with good states of the market in a joint model. Also, the performance depends on a long reroll cycle to avoid transaction cost, and seems to be more successful for in-the-money options. Through further predictive regressions on option-implied moments, I determine that it is hard to predict the success of the strategy despite a significant negative relationship between option-implied volatility and contemporaneous as well as future returns. The results provide potentially tradeable information for finance professionals and suggest consecutive studies in enhanced scope and scale, e.g., for other models or indices.
Understanding Leaps Using The Most Effective Options Strategies For Maximum Advantage
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Author : Marc Allaire
language : en
Publisher: McGraw Hill Professional
Release Date : 2002-11-18
Understanding Leaps Using The Most Effective Options Strategies For Maximum Advantage written by Marc Allaire and has been published by McGraw Hill Professional this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002-11-18 with Business & Economics categories.
Understanding LEAPS takes a practical, technique-oriented approach to one of today's most fascinating yet little-covered trading vehiclesLong-term Equity AnticiPation Securities. The only comprehensive and up-to-date guidebook for understanding what LEAPS are and how best to use them in a diversified portfolio, this valuable resource explains complex strategies such as collars and covered writing, and includes an entire section on index LEAPSthe hybrid product that has become a favorite of both independent and institutional investors.
High Performance Options Trading
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Author : Leonard Yates
language : en
Publisher: John Wiley & Sons
Release Date : 2004-04-16
High Performance Options Trading written by Leonard Yates and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-04-16 with Business & Economics categories.
The essential resource for the successful option trader High Performance Options Trading offers a fresh perspective on trading options from a seasoned options trader programmer/engineer, Leonard Yates. Drawing on twenty-five years of experience as an options trader and software programmer, Yates has written this straightforward guide. First he provides readers with a solid foundation to trading options, including an introduction to basic options terminology, a thorough explanation on how options are traded, and specific trading strategies. Accompanied by the OptionVue Educational website, this hands-on guide to the options market is a thorough and essential resource for any trader looking to increase his or her practical knowledge of options.
The Index Trading Course Workbook
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Author : George A. Fontanills
language : en
Publisher: John Wiley & Sons
Release Date : 2007-04-18
The Index Trading Course Workbook written by George A. Fontanills and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-04-18 with Business & Economics categories.
An indispensable, hands-on companion to The Index Trading Course In The Index Trading Course, financial experts George Fontanills and Tom Gentile provide an in-depth look at the tools and techniques used to trade in this profitable market. Now, in The Index Trading Course Workbook, Fontanills and Gentile offer a wealth of practical exercises that will help further your understanding of index trading, as well as test and apply what you've learned before you take one step into the real markets-where time and money are luxuries you can't afford to lose. The media assignments found in each chapter are especially useful. They'll help you put the material you've read into action by prompting you to access some of the extensive media tools currently available to all traders-including financial papers, magazines, the Internet, and television. This hands-on companion to The Index Trading Course also includes a complete answer key for every multiple-choice question and covers a wide range of issues related to this discipline such as: Core stock market indexes along with the sector offerings from a variety of financial entities Actively traded index products, including exchange traded funds (ETFs), index options, and ETF options Options strategies used for different trends and volatility situations Indicators and systems Trade adjustments The art of risk management
The Performance Of Equity Index Option Strategy Returns During The Financial Crisis
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Author : Dominik Schulte
language : en
Publisher:
Release Date : 2015
The Performance Of Equity Index Option Strategy Returns During The Financial Crisis written by Dominik Schulte and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
Equity index option writing strategies delivered abnormally high returns in the past. This empirical fact is often attributed to the so-called Path Peso argument, which states that put option prices reflect risk premiums for extreme jumps in prices and volatility, which are underrepresented in empirical data. This paper uses option price data collected during the financial crisis as a natural experiment to to examine whether the empirical evidence of abnormally high index option returns persists in periods with adverse outcomes of jump and volatility risk. To this end, this paper uses S&P 500, DAX, and EURO STOXX 50 option price data to analyze returns of a wide array of index option strategies.
Option Writing Strategies For Extraordinary Returns
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Author : David Funk
language : en
Publisher: McGraw-Hill Companies
Release Date : 2005-05-05
Option Writing Strategies For Extraordinary Returns written by David Funk and has been published by McGraw-Hill Companies this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-05-05 with Business & Economics categories.
"Using tables and charts to illustrate each step, veteran options expert David Funk details an innovative "three-legged" model that involves the purchase of a stock position and the simultaneous writing of both put and call options with different strike prices on that position. This model reduces the amount of downside risk assumed versus buying stock alone, while allowing you the flexibility to increase your upside potential when warranted by the circumstances."--Jacket.
Option Strategies
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Author : Courtney Smith
language : en
Publisher: John Wiley & Sons
Release Date : 2008-10-24
Option Strategies written by Courtney Smith and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-10-24 with Business & Economics categories.
Updated and revised to include a decade of growth in the scope and complexity of options, Options Strategies: Profit-Making Techniques for Stock, Stock Index, and Commodity Options, 3rd Edition is a comprehensive guide to options trading strategies written in clear, non-technical language. In addition to insight into options issues like carrying changes, strike prices, commissions, interest rates, and break-even points, new chapters show how to predict the direction of implied volatility. Accessible examples, charts, and graphs will help you obtain the information you need to succeed in the high-risk, high-profit world of options.
The Options Strategist
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Author : Marc Allaire
language : en
Publisher: McGraw Hill Professional
Release Date : 2003-03-24
The Options Strategist written by Marc Allaire and has been published by McGraw Hill Professional this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-03-24 with Business & Economics categories.
Equity options, the all-purpose vehicles that today's smartest investors use to increase profits, reduce risks, or both Equity options, considered overly complex and aggressive by most investors, are actually among today's most straightforward and easy-to-use investment vehicles. Providing both protection against loss and potential for exceptional profits, they are ideal for virtually any trader or investor. The Options Strategist outlines effective and easy-to-follow strategies for incorporating the power of equity options into your trading program. Starting with the basics of options and options trading, it goes on to reveal specific strategies that you can use to: Maximize your trading profits in up, down, or sideways markets Protect your portfolio against sudden market declines Take advantage of price swings, regardless of their direction Hedge your corporate stock and/or options against unforeseen events Employ advanced options techniques to take your trading success to the next level It's time that you discovered the many benefits of equity options. Let The Options Strategist show you just how easy and profitable options investing can be and provide you with the knowledge and tools you need to give your portfolio the options advantage. Investors of all types, with portfolios of every size, are beginning to realize the protection and profit in equity options. Long seen as a volatile investment designed strictly for gamblers and high rollers, options in fact offer unique advantages to even the most conservative investor and are suitable for rounding out virtually any investment portfolio. The Options Strategist tells you everything you need to know to trade and invest with equity options. Whether you use options to aggressively increase trading profits through the power of leverage or conservatively protect the stocks in your portfolio against sudden market reversals, this hands-on, practical guide will introduce you to strategies from basic to advanced, including: Buying calls and puts Writing covered calls and puts Writing naked calls and puts Straddles Spreads Strangles Collars Combinations But more than just discussing what to do and how to do it, The Options Strategist explains why to do it. Why would an investor buy an option to purchase 100 shares of a stock instead of just buying the stock itself? Why would an investor write calls on shares of stock he or she already owns? Or write both puts and calls on that same stock? This plain-talking guidebook explains the strategic motivation behind each of these examples and dozens more, along with the rewards, risks, best outcomes, and worst outcomes for each. In addition, The Options Strategist takes an in-depth look at the theory behind options investing. Option pricing, implied and historical volatility, the Greeks, the Black-Scholes Option Pricing Model: For each of these topics, key questions are asked and answered, central arguments are introduced and analyzed, and specific technical terms are demystified to underscore their practical applications (or lack thereof) for options traders and investors. The result is a guidebook that lays a solid foundation for equity option trading and investing. The Options Strategist explains how to use basic techniques for both profit and protection and then explores more advanced aspects for the truly serious student of options trading. It is, in short, today's most comprehensive introduction and rulebook for making equity option trading an integral part of your everyday investing strategy.
Option Writing
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Author : Burton G. Malkiel
language : en
Publisher:
Release Date : 2019
Option Writing written by Burton G. Malkiel and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
Buy-Write and Put-Write strategies have been shown to match market returns with lower volatility resulting in higher risk-adjusted performance. The strategies benefit from the fact that implied volatility of options is generally higher than actual realized volatility. In this paper we show that this premium is higher at elevated levels of implied volatility (as represented by the VIX index level). Based on this finding we propose a simple conditional strategy in which one sells options at elevated levels of the VIX. Using data from 1990 through 2018, we find that this conditional strategy outperforms both the market and continuous option selling strategies on an absolute and risk-adjusted basis.
Options For Volatile Markets
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Author : Richard Lehman
language : en
Publisher: John Wiley & Sons
Release Date : 2011-08-09
Options For Volatile Markets written by Richard Lehman and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-08-09 with Business & Economics categories.
Practical option strategies for the new post-crisis financial market Traditional buy-and-hold investing has been seriously challenged in the wake of the recent financial crisis. With economic and market uncertainty at a very high level, options are still the most effective tool available for managing volatility and downside risk, yet they remain widely underutilized by individuals and investment managers. In Options for Volatile Markets, Richard Lehman and Lawrence McMillan provide you with specific strategies to lower portfolio volatility, bulletproof your portfolio against any catastrophe, and tailor your investments to the precise level of risk you are comfortable with. While the core strategy of this new edition remains covered call writing, the authors expand into more comprehensive option strategies that offer deeper downside protection or even allow investors to capitalize on market or individual stock volatility. In addition, they discuss new offerings like weekly expirations and options on ETFs. For investors who are looking to capitalize on global investment opportunities but are fearful of lurking "black swans", this book shows how ETFs and options can be utilized to construct portfolios that are continuously protected against unforeseen calamities. A complete guide to the increased control and lowered risk covered call writing offers active investors and traders Addresses the changing investment environment and how to use options to succeed within it Explains how to use options with exchange-traded funds Understanding options is now more important than ever, and with Options for Volatile Markets as your guide, you'll quickly learn how to use them to protect your portfolio as well as improve its overall performance.