Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/329611 
Year of Publication: 
2021
Citation: 
[Journal:] ACRN Journal of Finance and Risk Perspectives (JOFRP) [ISSN:] 2305-7394 [Volume:] 10 [Year:] 2021 [Pages:] 166-203
Publisher: 
ACRN Oxford Research Network, Oxford
Abstract: 
In this paper, we examine the performance of certain short option trading strategies on the S&P500 with backtesting based on historical option price data. Some of these strategies show significant outperformance in relation to the S&P500 index. We seek to explain this outperformance by modeling the negative correlation between the S&P500 and its implied volatility (given by the VIX) and through Monte Carlo simulation. We also provide free testing software and give an introduction to its use for readers interested in running further backtests on their own.
Subjects: 
Option-trading
S&P500-index
Implied volatility
Realized volatility
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-sa Logo
Document Type: 
Article

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