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	<title>CXO Advisory &#187; Equity Options</title>
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		<title>Predicting Stock Market Returns with Implied Index Volatilities [PREMIUM]</title>
		<link>http://www.cxoadvisory.com/12757/volatility-effects/predicting-stock-market-returns-with-implied-index-volatilities/</link>
		<comments>http://www.cxoadvisory.com/12757/volatility-effects/predicting-stock-market-returns-with-implied-index-volatilities/#comments</comments>
		<pubDate>Mon, 06 Feb 2012 11:02:31 +0000</pubDate>
		<dc:creator>Steve LeCompte</dc:creator>
				<category><![CDATA[Equity Options]]></category>
		<category><![CDATA[Volatility Effects]]></category>

		<guid isPermaLink="false">http://www.cxoadvisory.com/?p=12757</guid>
		<description><![CDATA[Can investors usefully predict the short-term direction of the stock market by contrasting the outlooks implied by out-of-the-money (OTM) and at-the-money (ATM) market index options. In the October 2011 update of their paper entitled &#8220;Implied Volatility Spreads and Expected Market Returns&#8221;, Turan Bali, Ozgur Demirtas and Yigit Atilgan investigate the relationship between stock market index <a href="http://www.cxoadvisory.com/12757/volatility-effects/predicting-stock-market-returns-with-implied-index-volatilities/"><strong>More...</strong></a>]]></description>
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		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Trading Options on Volatility of Fundamentals [PREMIUM]</title>
		<link>http://www.cxoadvisory.com/18727/fundamental-valuation/trading-options-on-volatility-of-fundamentals/</link>
		<comments>http://www.cxoadvisory.com/18727/fundamental-valuation/trading-options-on-volatility-of-fundamentals/#comments</comments>
		<pubDate>Mon, 09 Jan 2012 11:06:11 +0000</pubDate>
		<dc:creator>Steve LeCompte</dc:creator>
				<category><![CDATA[Equity Options]]></category>
		<category><![CDATA[Fundamental Valuation]]></category>
		<category><![CDATA[Volatility Effects]]></category>

		<guid isPermaLink="false">http://www.cxoadvisory.com/?p=18727</guid>
		<description><![CDATA[Are realized (actual historical) and implied volatilities the whole story for equity option valuation? In their December 2011 paper entitled &#8220;Fundamental Analysis and Option Returns&#8221;, Theodore Goodman, Monica Neamtiu and Frank Zhang investigate the extent to which the equity options market fails to recognize volatility of firm operations (accounting data) and whether any such failure is <a href="http://www.cxoadvisory.com/18727/fundamental-valuation/trading-options-on-volatility-of-fundamentals/"><strong>More...</strong></a>]]></description>
		<wfw:commentRss>http://www.cxoadvisory.com/18727/fundamental-valuation/trading-options-on-volatility-of-fundamentals/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Testing A Simple Index Covered Calls Strategy</title>
		<link>http://www.cxoadvisory.com/3868/equity-options/testing-a-simple-index-covered-calls-strategy/</link>
		<comments>http://www.cxoadvisory.com/3868/equity-options/testing-a-simple-index-covered-calls-strategy/#comments</comments>
		<pubDate>Thu, 17 Nov 2011 11:06:40 +0000</pubDate>
		<dc:creator>Steve LeCompte</dc:creator>
				<category><![CDATA[Equity Options]]></category>

		<guid isPermaLink="false">http://www.cxoadvisory.com.php5-14.websitetestlink.com/?p=3868</guid>
		<description><![CDATA[Does iteratively selling short-term, slightly out-of-the-money covered calls on a broad stock market index reliably outperform buying and holding the index? In other words, does any premium associated with selling the options outweigh the costs of execution? Two ways to address this question are: (1) apply estimated trading frictions to the CBOE S&#38;P 500 BuyWrite <a href="http://www.cxoadvisory.com/3868/equity-options/testing-a-simple-index-covered-calls-strategy/"><strong>More...</strong></a>]]></description>
		<wfw:commentRss>http://www.cxoadvisory.com/3868/equity-options/testing-a-simple-index-covered-calls-strategy/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Exploiting the Implied Volatility Term Structure [PREMIUM]</title>
		<link>http://www.cxoadvisory.com/17174/volatility-effects/exploiting-the-implied-volatility-term-structure/</link>
		<comments>http://www.cxoadvisory.com/17174/volatility-effects/exploiting-the-implied-volatility-term-structure/#comments</comments>
		<pubDate>Wed, 26 Oct 2011 10:05:59 +0000</pubDate>
		<dc:creator>Steve LeCompte</dc:creator>
				<category><![CDATA[Equity Options]]></category>
		<category><![CDATA[Volatility Effects]]></category>

		<guid isPermaLink="false">http://www.cxoadvisory.com/?p=17174</guid>
		<description><![CDATA[An upward (downward) trend in implied volatilities with option maturity indicates that investors expect volatility to increase (decrease) over time. Do such expectations reliably predict future stock options prices? In his October 2011 paper entitled &#8220;Volatility Term Structure and the Cross-Section of Option Returns&#8221;, Aurelio Vasquez investigates whether the implied volatility term structure (measured as slope of <a href="http://www.cxoadvisory.com/17174/volatility-effects/exploiting-the-implied-volatility-term-structure/"><strong>More...</strong></a>]]></description>
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		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Russell 2000 Index Buy-Write Strategy Performance [PREMIUM]</title>
		<link>http://www.cxoadvisory.com/16607/equity-options/russell-2000-index-buy-write-strategy-performance/</link>
		<comments>http://www.cxoadvisory.com/16607/equity-options/russell-2000-index-buy-write-strategy-performance/#comments</comments>
		<pubDate>Mon, 26 Sep 2011 10:06:21 +0000</pubDate>
		<dc:creator>Steve LeCompte</dc:creator>
				<category><![CDATA[Equity Options]]></category>

		<guid isPermaLink="false">http://www.cxoadvisory.com/?p=16607</guid>
		<description><![CDATA[Does a simple strategy of iteratively selling covered calls (buy-write) on the Russell 2000 Index beat buying and holding the index? In their September 2011 paper entitled &#8220;15 Years of the Russell 2000 Buy‐Write&#8221;, Nikunj Kapadia and Edward Szado evaluate returns on ten alternative buy‐write strategies for the Russell 2000 Index. Specifically, they consider one-month and two-month maturities and five levels of approximate moneyness: at-the-money (ATM); 2% and 5% <a href="http://www.cxoadvisory.com/16607/equity-options/russell-2000-index-buy-write-strategy-performance/"><strong>More...</strong></a>]]></description>
		<wfw:commentRss>http://www.cxoadvisory.com/16607/equity-options/russell-2000-index-buy-write-strategy-performance/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>A Few Notes on The Market Taker&#8217;s Edge</title>
		<link>http://www.cxoadvisory.com/16299/equity-options/a-few-notes-on-the-market-takers-edge/</link>
		<comments>http://www.cxoadvisory.com/16299/equity-options/a-few-notes-on-the-market-takers-edge/#comments</comments>
		<pubDate>Tue, 13 Sep 2011 10:05:07 +0000</pubDate>
		<dc:creator>Steve LeCompte</dc:creator>
				<category><![CDATA[Equity Options]]></category>

		<guid isPermaLink="false">http://www.cxoadvisory.com/?p=16299</guid>
		<description><![CDATA[In his 2011 book entitled The Market Taker&#8217;s Edge: Insider Strategies from the Options Trading Floor, author Dan Passarelli &#8221;offers lessons from the trading pits from the perspective of a professional trader turned options evangelist for the benefit of both aspiring professional traders and nonprofessional traders alike.&#8221; According to the book&#8217;s foreword: &#8220;What the trading industry has needed is <a href="http://www.cxoadvisory.com/16299/equity-options/a-few-notes-on-the-market-takers-edge/"><strong>More...</strong></a>]]></description>
		<wfw:commentRss>http://www.cxoadvisory.com/16299/equity-options/a-few-notes-on-the-market-takers-edge/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Index Versus ETF Option Pricing [PREMIUM]</title>
		<link>http://www.cxoadvisory.com/14890/volatility-effects/index-versus-etf-option-pricing/</link>
		<comments>http://www.cxoadvisory.com/14890/volatility-effects/index-versus-etf-option-pricing/#comments</comments>
		<pubDate>Wed, 13 Jul 2011 10:07:27 +0000</pubDate>
		<dc:creator>Steve LeCompte</dc:creator>
				<category><![CDATA[Equity Options]]></category>
		<category><![CDATA[Volatility Effects]]></category>

		<guid isPermaLink="false">http://www.cxoadvisory.com/?p=14890</guid>
		<description><![CDATA[Are there differences in implied volatilities (option pricing) between major indexes and the exchange-traded funds (ETF) that track them? In their 2011 paper entitled &#8220;The Implied Volatility of ETF and Index Options&#8221;, Stoyu Ivanov, Jeff Whitworth and Yi Zhang compare implied volatilities of SPDR Dow Jones Industrial Average (DIA), SPDR S&#38;P 500 (SPY) and PowerShares <a href="http://www.cxoadvisory.com/14890/volatility-effects/index-versus-etf-option-pricing/"><strong>More...</strong></a>]]></description>
		<wfw:commentRss>http://www.cxoadvisory.com/14890/volatility-effects/index-versus-etf-option-pricing/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Condor Options Newsletter Performance Review</title>
		<link>http://www.cxoadvisory.com/14813/equity-options/condor-options-newsletter-performance-review/</link>
		<comments>http://www.cxoadvisory.com/14813/equity-options/condor-options-newsletter-performance-review/#comments</comments>
		<pubDate>Wed, 06 Jul 2011 10:05:21 +0000</pubDate>
		<dc:creator>Steve LeCompte</dc:creator>
				<category><![CDATA[Equity Options]]></category>
		<category><![CDATA[Individual Gurus]]></category>
		<category><![CDATA[Guru]]></category>

		<guid isPermaLink="false">http://www.cxoadvisory.com/?p=14813</guid>
		<description><![CDATA[A reader suggested Condor Options as a guru for review. To conduct a review, we evaluate the Condor Options Newsletter Performance table of iron condor trades (with a few hedging trades) available via the Condor Options Performance self-assessment. This table includes entry and exit dates, trade duration, specific positions/strike prices, initial value (credit), total amount <a href="http://www.cxoadvisory.com/14813/equity-options/condor-options-newsletter-performance-review/"><strong>More...</strong></a>]]></description>
		<wfw:commentRss>http://www.cxoadvisory.com/14813/equity-options/condor-options-newsletter-performance-review/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Return Versus Liquidity for Equity Options [PREMIUM]</title>
		<link>http://www.cxoadvisory.com/13300/equity-options/return-versus-liquidity-for-equity-options/</link>
		<comments>http://www.cxoadvisory.com/13300/equity-options/return-versus-liquidity-for-equity-options/#comments</comments>
		<pubDate>Mon, 02 May 2011 10:12:19 +0000</pubDate>
		<dc:creator>Steve LeCompte</dc:creator>
				<category><![CDATA[Equity Options]]></category>

		<guid isPermaLink="false">http://www.cxoadvisory.com/?p=13300</guid>
		<description><![CDATA[Does the market compensate buyers of illiquid options? In their March 2011 paper entitled &#8220;Illiquidity Premia in the Equity Options Market&#8221;, Peter Christoffersen, Ruslan Goyenko, Kris Jacobs and Mehdi Karoui investigate the impact of illiquidity of equity options and underlying stocks on option returns. They consider two option expiration horizons, short-term (20 to 70 days) <a href="http://www.cxoadvisory.com/13300/equity-options/return-versus-liquidity-for-equity-options/"><strong>More...</strong></a>]]></description>
		<wfw:commentRss>http://www.cxoadvisory.com/13300/equity-options/return-versus-liquidity-for-equity-options/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Sell Lottery Tickets for (Their) Fun and (Your) Profit? [PREMIUM]</title>
		<link>http://www.cxoadvisory.com/13232/equity-options/sell-lottery-tickets-for-their-fun-and-your-profit/</link>
		<comments>http://www.cxoadvisory.com/13232/equity-options/sell-lottery-tickets-for-their-fun-and-your-profit/#comments</comments>
		<pubDate>Thu, 14 Apr 2011 10:12:11 +0000</pubDate>
		<dc:creator>Steve LeCompte</dc:creator>
				<category><![CDATA[Equity Options]]></category>

		<guid isPermaLink="false">http://www.cxoadvisory.com/?p=13232</guid>
		<description><![CDATA[Can investors exploit greed among naive traders by selling them the most lottery-like equity options? In the March 2011 version of their paper entitled &#8220;Stock Options as Lotteries&#8221;, Brian Boyer and Keith Vorkink investigate the relationship between skewness of expected returns (a measure of prospects for extreme payouts, a proxy for &#8220;lotteryness&#8221;) and actual future <a href="http://www.cxoadvisory.com/13232/equity-options/sell-lottery-tickets-for-their-fun-and-your-profit/"><strong>More...</strong></a>]]></description>
		<wfw:commentRss>http://www.cxoadvisory.com/13232/equity-options/sell-lottery-tickets-for-their-fun-and-your-profit/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
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