A5014870449- Stochastic processes and financial applications
- Financial Markets and Investment Strategies
- Economic theories and models
- Market Dynamics and Volatility
- Financial Risk and Volatility Modeling
- Capital Investment and Risk Analysis
University of Southern California
2023
University of Maryland, College Park
2023
Baruch College
2023
City University of Hong Kong
2023
Rochester Institute of Technology
2023
London School of Economics and Political Science
2020-2022
ABSTRACT This paper investigates the performance of option investments across different stocks by computing monthly returns on at‐the‐money straddles individual equities. We find that options with high historical continue to significantly outperform low over horizons ranging from 6 36 months. phenomenon is robust including out‐of‐the‐money or delta‐hedging returns. Unlike stock momentum, return continuation not followed long‐run reversal. Significant remain after factor risk adjustment and...
This paper develops a new method to calculate hedged returns on model-free “equity VIX” option portfolios. Our are highly correlated with realized variance minus implied variance. Compared CBOE’s VIX formula, our formulas more accurate for both simulated and actual prices, they variance.We document quarterly cross-sectional continuation pattern in of individual stocks. Implied does not fully anticipate the Consequently, options that performed well at lags continue earn high future. A...
We study how hedge fund option usage can affect the skewness risk premium in cross-section of individual stock options. find that stocks with more their holders employing long naked put strategy (long without underlying stock) have positive returns assets comprised options, whose payoff (price) resembles realized (risk-neutral) return. document evidence consistent a price-pressure channel: Those face larger demand on out-of-the-money which makes risk-neutral negative and lowers price asset;...
This paper improves continuous-time variance swap approximation formulas to derive exact returns on benchmark VIX option portfolios. The new methodology preserves the interpretation that decomposes into realized and implied-variance.We apply this explore return momentum portfolios across different S&P 500 stocks. We find stock options with high historical continue outperform low returns. predictability has a quarterly pattern, resembling pattern of found by Heston Sadka (2008). In contrast...