Options‐based benchmark indices—A review of performance and (in)appropriate measures
Journal of Futures Markets, 2018, vol. 38, issue 2, 271-288
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.
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Persistent link: https://EconPapers.repec.org/RePEc:wly:jfutmk:v:38:y:2018:i:2:p:271-288
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