VIX futures and options: A case study of portfolio diversification during the 2008 financial crisis
E Szado - The Journal of Alternative Investments, 2009 - search.proquest.com
Abstract In 2008, the S&P 500 experienced a drawdown of about 50% from peak to trough.
Many assets which are typically considered effective equity diversifiers also faced …
Many assets which are typically considered effective equity diversifiers also faced …
Consistent modeling of S&P 500 and VIX derivatives
YN Lin, CH Chang - Journal of Economic Dynamics and Control, 2010 - Elsevier
This study introduces a model that identifies relationships between stylized features on S&P
500, VIX and derivatives on VIX. The paper considers a specification with discontinuous …
500, VIX and derivatives on VIX. The paper considers a specification with discontinuous …
Covered calls uncovered
R Israelov, LN Nielsen - Financial Analysts Journal, 2015 - Taylor & Francis
Typical covered call strategies collect the equity and volatility risk premiums but also embed
exposure to a naive equity reversal strategy that is uncompensated. This article presents a …
exposure to a naive equity reversal strategy that is uncompensated. This article presents a …
151 Trading Strategies
Z Kakushadze, JA Serur - Z. Kakushadze and JA Serur, 2018 - papers.ssrn.com
We provide detailed descriptions, including over 550 mathematical formulas, for over 150
trading strategies across a host of asset classes (and trading styles). This includes stocks …
trading strategies across a host of asset classes (and trading styles). This includes stocks …
[BOOK][B] The new science of asset allocation: risk management in a multi-asset world
T Schneeweis, GB Crowder, HB Kazemi - 2010 - books.google.com
A feasible asset allocation framework for the post 2008 financial world Asset allocation has
long been a cornerstone of prudent investment management; however, traditional allocation …
long been a cornerstone of prudent investment management; however, traditional allocation …
[PDF][PDF] The cash-secured putwrite strategy and performance of related benchmark indexes
J Ungar, MT Moran - The Journal of Alternative Investments, 2009 - Citeseer
Trading of exchange-listed, SEC-regulated options contracts began with the launch of the
Chicago Board Options Exchange®(CBOE®) in 1973—the same year the landmark Black …
Chicago Board Options Exchange®(CBOE®) in 1973—the same year the landmark Black …
The performance of alternative futures buy‐write strategies
SYS Che, JKW Fung - Journal of futures markets, 2011 - Wiley Online Library
This study compares the performance of a conventional buy‐write (or covered call writing)
and a dynamic buy‐write strategy. The conventional strategy generally enhances portfolio …
and a dynamic buy‐write strategy. The conventional strategy generally enhances portfolio …
Options‐based benchmark indices—A review of performance and (in) appropriate measures
M Natter - Journal of Futures Markets, 2018 - Wiley Online Library
This paper reviews the performance and profitability of different option strategy benchmark
indices provided by the CBOE. Using different performance approaches, I show that …
indices provided by the CBOE. Using different performance approaches, I show that …
The efficiency of the buy-write strategy: Evidence from Australia
T Mugwagwa, V Ramiah, T Naughton… - Journal of International …, 2012 - Elsevier
We examine the performance of the buy-write option strategy (BWS) on the Australian Stock
Exchange and analyse whether such an investment opportunity violates the efficient market …
Exchange and analyse whether such an investment opportunity violates the efficient market …
Are covered calls the right option for Australian investors?
SJ Niblock, E Sinnewe - Studies in Economics and Finance, 2018 - emerald.com
Purpose The purpose of this paper is to examine whether superior risk-adjusted returns can
be generated using monthly covered call option strategies in large capitalized Australian …
be generated using monthly covered call option strategies in large capitalized Australian …