Analysis of Option Trading Strategies Based on the Relation of Implied and Realized S&P500 Volatilities
In this paper, we examine the performance of certain short option trading strategies on the S&P500 with backtesting based on historical option price data. Some of these strategies show significant outperformance in relation to the S&P500 index. We seek to explain this outperformance by model...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
ACRN Publishing
2021-09-01
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| Series: | ACRN Journal of Finance and Risk Perspectives |
| Subjects: | |
| Online Access: | https://www.acrn-journals.eu/resources/jofrp10j.pdf |