Stress Test for Equity Index Option Strategies
October 28, 2015 - Equity Options
How well do equity index option strategies work during crises? In his October 2015 paper entitled “The Performance of Equity Index Option Strategy Returns during the Financial Crisis”, Dominik Schulte tests the profitability of long and short equity index option strategies during the financial crisis of 2008, including long (as defined) and short (opposite) versions of: Call: buy a… Keep Reading