The Performance of Equity Index Option Strategy Returns During the Financial Crisis

Schulte, Dominik; Stamos, Michael Z.

doi:10.2139/ssrn.2669999

Cited by 2 publications

(2 citation statements)

References 19 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Schulte and Stamos (2015) find abnormally high returns for option strategies in the recent financial crisis (2008)(2009)(2010) in the long run. The indices are said to have an inherent protection against market declines.…”

Section: Crises Analysismentioning

confidence: 99%

“…Indices that buy options, especially puts (e.g., the PPUT), should also be limited in losses. Schulte and Stamos (2015) find abnormally high returns for option strategies in the recent financial crisis (2008)(2009)(2010) in the long run. Therefore, it seems reasonable to test whether these strategies strategies prevent the investor from experiencing losses in crises periods.…”

Section: Crises Analysismentioning

confidence: 99%

See 1 more Smart Citation

Options‐based benchmark indices—A review of performance and (in)appropriate measures

Natter

2017

Journal of Futures Markets

View full text Add to dashboard Cite

This paper reviews the performance and profitability of different option strategy benchmark indices provided by the CBOE. Using different performance approaches, I show that performance measurement of these indices is highly complex and sensitive to the model choice. Moreover, this study controls for time‐varying delta exposure via linear timing approaches and uses a linear option‐factor model that is independent from the portfolio composition. Splitting the sample, I find that outperformance reported by previous studies is mostly driven by limited data. Moreover, the profitability of option strategies for private investors is evaluated based on easily investable investment products.

show abstract

Section: Crises Analysismentioning

confidence: 99%

Section: Crises Analysismentioning

confidence: 99%