天风金工-海外文献推荐-第六十一期wednesday-945am-which-index-options-should-you-sell.pdfVIP

Which Index Options Should You Sell?* Roni Israelov Harsha Tummala June 2017 This paper explores historical return and risk properties of equity-hedged options across the SP 500 option surface. We evaluate returns by estimating alpha to the SP 500 index, and we quantify risk using three metrics: return volatility, losses under stress tests, and condi