scholarly journals Margin Requirements and Equity Option Returns

2017 ◽  
Author(s):  
Steffen Hitzemann ◽  
Michael Hofmann ◽  
Marliese Uhrig-Homburg ◽  
Christian Wagner
Keyword(s):  
Margin Requirements ◽  
Option Returns ◽  
Equity Option

Volatility and Expected Option Returns

2019 ◽  
Vol 55 (3) ◽  
pp. 1025-1060 ◽  
Author(s):  
Guanglian Hu ◽  
Kris Jacobs
Keyword(s):  
Stock Returns ◽  
Expected Return ◽  
Cross Sectional ◽  
Stock Volatility ◽  
Option Returns ◽  
Put Option ◽  
Expected Stock Returns ◽  
Alternative Measures ◽  
Expected Option Returns ◽  
Equity Option

We analyze the relation between expected option returns and the volatility of the underlying securities. The expected return from holding a call (put) option is a decreasing (increasing) function of the volatility of the underlying. These predictions are supported by the data. In the cross section of equity option returns, returns on call (put) option portfolios decrease (increase) with underlying stock volatility. This finding is not due to cross-sectional variation in expected stock returns. It holds in various option samples with different maturities and moneyness, and is robust to alternative measures of underlying volatility and different weighting methods.

Common Factors in Equity Option Returns

2018 ◽  
Author(s):  
Alex R. Horenstein ◽  
Aurelio Vasquez ◽  
Xiao Xiao
Keyword(s):  
Common Factors ◽  
Option Returns ◽  
Equity Option

The Cross-Section of Individual Equity Option Returns

2021 ◽  
Author(s):  
Mobina Shafaati ◽  
Don M. Chance ◽  
Robert E. Brooks
Keyword(s):  
Cross Section ◽  
Option Returns ◽  
The Cross ◽  
Equity Option

Gambling preference and individual equity option returns

2016 ◽  
Vol 122 (1) ◽  
pp. 155-174 ◽  
Author(s):  
Suk-Joon Byun ◽  
Da-Hea Kim
Keyword(s):  
Option Returns ◽  
Equity Option ◽  
Gambling Preference

The Puzzle of Index Option Returns

CFA Digest ◽  
2014 ◽  
Vol 44 (6) ◽  
Author(s):  
Brindha Gunasingham
Keyword(s):  
Option Returns ◽  
Index Option

Option Returns and Disagreement Risk

2008 ◽  
Author(s):  
Andrea Buraschi ◽  
Fabio Trojani ◽  
Andrea Vedolin
Keyword(s):  
Option Returns
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