Sell Equity Index OTM Put Options and ATM Straddles?
December 19, 2018 - Equity Options
Does accounting for realistic trading frictions support beliefs that equity index out-of-the money (OTM) put options and at-the-money (ATM) straddles are systematically overpriced? In their October 2018 paper entitled “Index Option Anomalies: How Real Are They?”, Michal Czerwonko and Stylianos Perrakis re-examine assumptions and data used in several high-profile studies finding that OTM put options and ATM straddles… Keep Reading