Flight of the Condors: Evidence on the Performance of Condor Option Spreads in Australia
This paper examines whether superior nominal and risk-adjusted returns can be generated using condor option spread strategies on a large capitalized Australian stock. Monthly Commonwealth Bank of Australia Ltd (CBA) condor option spreads are constructed from 2012 to 2015 and their returns establish...
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| Format: | Article |
| Language: | English |
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Tuwhera Open Access Publisher
2017-12-01
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| Series: | Applied Finance Letters |
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| Online Access: | https://ojs.aut.ac.nz/applied-finance-letters/article/view/69 |