Options on Low-priced Stocks Overpriced?
August 28, 2020 - Equity Options
Does nominal stock price matter for associated option returns? In their May 2020 paper entitled “Cheap Options Are Expensive”, Assaf Eisdorfer, Amit Goyal and Alexei Zhdanov evaluate option returns across the range of U.S. stock prices. For each stock each month, they: Pick a single call option and a single put option closest to at-the-money… Keep Reading