RT Journal Article SR Electronic T1 Modeling and Performance of Certain Put-Write
Strategies JF The Journal of Alternative Investments FD Institutional Investor Journals SP 74 OP 86 DO 10.3905/jai.2013.15.4.074 VO 15 IS 4 A1 Gerhard Larcher A1 Lucia Del Chicca A1 Michaela Szölgyenyi YR 2013 UL https://pm-research.com/content/15/4/74.abstract AB Several authors have stated that put options on the S&P 500 Index in a particular moneyness and with a particular maturity seem to be systematically overpriced and that therefore certain put-write strategies outperform significantly. Motivated by these claims, the authors studied a large class of put-write strategies on the basis of historic option prices and under realistic trading conditions. This article reports on the performance and best parameter choices of these strategies for the period 1990 to 2010, as well as several sub-periods.TOPICS: Mutual funds/passive investing/indexing, options, performance measurement