Equity Options

…investors may be able to use simple trend-following rules to enhance returns from a strategy designed to capture a combination of the equity risk premium from stocks and the volatility risk premium from short options.

…claiming options on ETFs as Section 1256 contracts appears risky pending a specific IRS ruling. Those considering doing so should consult their tax advisors…

…evidence indicates a potentially exploitable tendency for prices of individual U.S. stock options to drop over weekends.

“Are you aware of research on the before and after impacts of company earnings releases on option prices?”

…evidence from pricing of call options on individual stocks supports belief in a volatility risk premium that increases with stock volatility and decreases with firm market capitalization, but only investors who keep trading frictions low can exploit the variations in premium.

The following research suggests that going further out-of-the-money improves returns from selling equity calls and puts…

…investors may find Put Option Strategies for Smarter Trading useful as a source of information on how put option strategies work, but they should be skeptical that any examples it presents on strategy profitability are reliably achievable in actual trading.

…evidence indicates that buy-write strategies generally underperform their underlying stocks in Australia.

The most relevant research at CXOadvisory.com is…

The most relevant research at CXOadvisory.com is…

The essential explanation for the apparent pricing abnormality you cite is that VIX options are not priced based on the value of VIX but on the price of VIX futures.

…evidence indicates that option collars may substantially improve the performance of ETFs and mutual funds over fairly long periods that include bear markets.

…this logic assumes that the options market maker (or other options trade counterparty) is ignoring or underestimating the impact of the grind when pricing the options.

…traders may find Day Trading Options an interesting exploration of potential short-term options pricing inefficiencies and of approaches to exploiting such anomalies. However, the book presents no associated model of reasonably sustainable portfolio-level returns.

…investors may find The Options Trading Body of Knowledge useful as a broad source of information on how strategies for stock options work, but they should be skeptical of any judgments it offers on strategy profitability/risk and recognize that rules for other kinds of options may be different.