Research Report from Equity Group: Premium Selling

Siyun Li (), Chengxuan Liu () and Weicong Liang ()
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Siyun Li: Shanghai Everbright Asset Management, Investment Associate
Chengxuan Liu: University of Xi′an Jiaotong-Liverpool, School of Mathematical Science
Weicong Liang: University of United International College, School of science and technology

A chapter in Proceedings of the 2022 2nd International Conference on Economic Development and Business Culture (ICEDBC 2022), 2022, pp 1291-1305 from Springer

Abstract: Abstract This article illustrates the premium selling strategy and its performance in Chinese option market. Analyzing the advantages and disadvantages of strategy application. This work will show the performance of traditional option strategy in Chinese market, whether it is effective or not. We choose options whose delta that is most close to our target value. Selling the option and collecting the premium as profit, undertaking extreme fluctuation of option price as risk, which is the main theme of our strategy. Furthermore, this paper will include backtest procedure and all major parts that should be involved in trading strategy such as signal generation, quotative analysis, qualitative analysis, portfolio construction and performance analysis.

Keywords: Premium selling; Performance analysis; Delta; Chinese option market (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:spr:advbcp:978-94-6463-036-7_191

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DOI: 10.2991/978-94-6463-036-7_191

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