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put-writing

Markets Old Articles

Can the Implied Volatility Surface predict Returns of shorting Puts?

We gave a brief introduction to put writing strategies already earlier this semester. We since thought about possible modifications of such strategies and their effects on return characteristics and return predictability. The positive returns of put writing strategies can be motivated from risk premia, as we show in the first Read more…

By BSIC, 6 years1 December 2019 ago
Markets Old Articles

Put-writing Strategies as an Alternative to Low-Volatility Equity Investments

Equity put-option writing strategies represent an alternative to attain equity-like returns with less volatility. In fact, by writing a put-option the seller collects the option premium and gains exposure to value changes in the underlying equity. The Chicago Board Options Exchange (CBOE) publishes already since 2007 daily return data for Read more…

By BSIC, 6 years6 October 2019 ago

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