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Options‐based benchmark indices—A review of performance and (in)appropriate measures

Markus Natter

Journal of Futures Markets, 2018, vol. 38, issue 2, 271-288

Abstract: This paper reviews the performance and profitability of different option strategy benchmark indices provided by the CBOE. Using different performance approaches, I show that performance measurement of these indices is highly complex and sensitive to the model choice. Moreover, this study controls for time‐varying delta exposure via linear timing approaches and uses a linear option‐factor model that is independent from the portfolio composition. Splitting the sample, I find that outperformance reported by previous studies is mostly driven by limited data. Moreover, the profitability of option strategies for private investors is evaluated based on easily investable investment products.

Date: 2018
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https://doi.org/10.1002/fut.21865

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