کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7355448 1477787 2018 32 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
On profitability of volatility trading on S&P 500 equity index options: The role of trading frictions
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
On profitability of volatility trading on S&P 500 equity index options: The role of trading frictions
چکیده انگلیسی
This article examines the profitability of volatility trading on S&P 500 equity index options in time-varying market conditions, with a particular focus on evaluating the authenticity of risk-adjusted returns. While significant profits are available on strategies that involve writing put options, our findings cast doubt on whether these profits can be genuinely attained in practice. After bid-ask spreads are included, we find that the profitability is significantly reduced. Furthermore, the implementation of the trades is generally difficult owing to margin requirements as investors have to set aside a large proportion of their wealth into margin accounts and also face a high likelihood of margin calls. Overall, the profitability of volatility trading tends to hinge on the capability of investors to capture the volatility risk premium and to wisely time its trades.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Economics & Finance - Volume 55, May 2018, Pages 295-307
نویسندگان
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