𝔖 Bobbio Scriptorium
✦   LIBER   ✦

AN examination of short QQQ option trades

✍ Scribed by David P. Simon

Publisher
John Wiley and Sons
Year
2007
Tongue
English
Weight
376 KB
Volume
27
Category
Article
ISSN
0270-7314

No coin nor oath required. For personal study only.

✦ Synopsis

Abstract

This study shows that unconditional QQQ option selling strategies from January 2001 through November 2004 are generally significantly profitable after transactions costs. However, when straddle and strangle sales are combined with purchases of out of the money puts, few of the strategies are significantly profitable. Profits improve when the QQQ Volatility Index is high relative to time series volatility forecasts, but only when actual volatility is forecast to be moderate. Active delta‐hedging reduces profitability, whereas stop loss/take profit orders enhance profitability. Overall, QQQ short volatility trades appear to be less compelling than what others have found with S&P options. Β© 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:739–770, 2007

πŸ“œ SIMILAR VOLUMES

An empirical examination of the pricing
An empirical examination of the pricing of exchange-traded barrier options
✍ Steve Easton; Richard Gerlach; Melissa Graham; Frank Tuyl πŸ“‚ Article πŸ“… 2004 πŸ› John Wiley and Sons 🌐 English βš– 111 KB πŸ‘ 2 views

## Abstract Actively traded barrier options were introduced on the Australian Stock Exchange in 1998. This market provides a unique laboratory in which to empirically examine their pricing. This is particularly so given that, for a number of these options, otherwise identical standard European opti

Habitual late payment of trade credit: a
Habitual late payment of trade credit: an empirical examination of UK small firms
✍ Carole Howorth; Beat Reber πŸ“‚ Article πŸ“… 2003 πŸ› John Wiley and Sons 🌐 English βš– 139 KB

## Abstract Quantitative and qualitative data are examined in an analysis of habitual late payment of trade credit by UK small firms. Multivariate logistic regression is employed to test the influence of variables expected to discriminate between small firms which pay late habitually and those whic

An analysis of capital expenses and perf
An analysis of capital expenses and performance trade-offs among IMS CSCF deployment options
✍ Anne Lee; Carlos Urrutia-ValdΓ©s πŸ“‚ Article πŸ“… 2008 πŸ› Institute of Electrical and Electronics Engineers 🌐 English βš– 136 KB πŸ‘ 1 views

Service providers around the world are deploying or planning to deploy the IP Multimedia Subsystem (IMS) in their core networks. IMS allows the delivery of new multimedia applications that can enhance the user's experience and bring in new revenue for the operators. These operators are now faced wit

An examination of factors influencing co
An examination of factors influencing consumer adoption of short message service (SMS)
✍ Gil Son Kim; Se-Bum Park; Jungsuk Oh πŸ“‚ Article πŸ“… 2008 πŸ› John Wiley and Sons 🌐 English βš– 144 KB

## Abstract Factors related to consumer adoption of short message service (SMS) are analyzed in this article. Our structural equation model identifies perceived enjoyment (PENJ), perceived monetary value (PMV), perceived usefulness (PU), and perceived ease of use (PEU) as four major factors that di

Effects of rollover strategies and infor
Effects of rollover strategies and information stability on the performance measures in options markets: An examination of the KOSPI 200 index options market
✍ Youngsoo Choi; SoonChan Ok πŸ“‚ Article πŸ“… 2011 πŸ› John Wiley and Sons 🌐 English βš– 453 KB πŸ‘ 2 views

## Abstract One of the most widely used option valuation models among practitioners is the ad hoc Black–Scholes (AHBS) model. The main contribution of this study is methodological. We carefully consider two rollover strategies (nearest‐to‐next strategy and next‐to‐next) used in the AHBS model to in