Abstract
We perform an empirical analysis of systematic trading strategies on options. Namely, we focus on strategies which sell out of the money (OTM) call options to harvest the premium, and buy downside protection through OTM puts. We compare the risk adjusted performance across different choices of strike, maturity and option notional. In this paper we mostly focus on the S&P 500 index over the period 2007–2018. There is also a brief look of the performances of the best strategies during the COVID-19 pandemic in early 2020.
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