研究: 賣方策略能賺錢，但有重大問題需克服

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http://www.econ.yale.edu/~shille ... a-clara-saretto.pdf


Abstract

We investigate the risk and return of a wide variety of trading strategies involving options on the S&P 500. We consider naked and covered positions, straddles,strangles, and calendar spreads, with different maturities and levels of moneyness.Overall, we find that strategies involving short positions in options generally compensate the investor with very high Sharpe ratios, which are statistically significant even after taking into account the non-normal distribution of returns. Furthermore, we find that the strategies’ returns are substantially higher than warranted by asset pricing models. We also find that the returns of the strategies could only be justified by jump risk if the probability of market crashes were implausibly higher than it has been historically. We conclude that the returnsof option strategies constitute a very good deal. However, exploiting this good deal is extremely difficult. We find that trading costs and margin requirements severely condition the implementation of option strategies. Margin calls force investors out of a trade precisely when it is losing money.

Isaacwu994

感謝，先收藏再慢慢閱讀，呵。

EntrepreneurOPs

讚! 相當值得賣方深思的一篇paper !!!
Exploiting this good deal is extremely just difficult, not impossible.