Analysis of Option Trading Strategies Based on the Relation of Implied and Realized S&P500 Volatilities

Q3 Decision Sciences

ACRN Journal of Finance and Risk Perspectives Pub Date : 2021-01-01 DOI:10.35944/jofrp.2021.10.1.010

Alexander Brunhuemer, G. Larcher, Lukas Larcher

引用次数: 1

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.

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基于标准普尔500隐含波动率与实际波动率关系的期权交易策略分析

本文以历史期权价格数据为基础，采用回溯测试的方法检验了若干空头期权交易策略在标准普尔500指数上的表现。其中一些策略的表现明显优于标准普尔500指数。我们试图通过建立标准普尔500指数与其隐含波动率(由VIX给出)之间的负相关模型并通过蒙特卡罗模拟来解释这种优异表现。我们还提供免费的测试软件，并为有兴趣自己进行进一步回测的读者介绍其使用方法。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

ACRN Journal of Finance and Risk Perspectives Business, Management and Accounting-Business and International Management

CiteScore

3.30

自引率

0.00%

发文量

审稿时长

14 weeks

期刊介绍： This journal is special because it aims to provide an outlet for inter-disciplinary and more in-depth research papers with various methodological approaches from the broad fields of Finance, Risk and Accounting. The target group of this journal are academics who want to get a better understanding of the interconnectedness of their fields by acknowledging the methods and theories used in closely related areas. The JOFRP thus aims to overcome the self-imposed paradigmatic boundaries and reflexive isomorphisms of the individual, typically rather narrow fields and invites new and combined perspectives from the fields of Finance, Risk and Accounting. Despite its methodological, topical and disciplinary openness - it does so with a strong focus on academic rigour and robustness. Articles can vary in size and approaches but all articles will be strictly double-blind peer reviewed and authors are frequently invited to discuss the ramifications of their articles in the global FRAP and SSFII conferences.