Profitability of Systematically Selling Equity Index Put and Call Options
March 8, 2016 - Equity Options
Is systematic selling of equity index put or call options an attractive strategy? In their December 2015 paper entitled “Index Options Realized Returns Distributions from Passive Investment Strategies”, Jose Dapena and Julian Siri analyze equity index call and put option returns from the perspective of a seller. They view a systematic option seller as an insurance company: (1) collecting… Keep Reading