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Working Paper

Being Right is Not Enough: Buying Options to Bet on Higher Realized Volatility

Should investors who buy options expect to profit when realized volatility increases? If so, under what conditions? To answer these questions, we analyzed the relationship between long volatility performance (buying options) and contemporaneous changes in volatility.

Perspective

Wild but Not Crazy

Just how volatile was the recent market ride? Cliff Asness puts the volatility into perspective in terms of both its absolute and surprise levels.

Journal Article

Pathetic Protection: The Elusive Benefits of Protective Puts

Conventional wisdom is that put options are effective drawdown protection tools.

Journal Article

The Low-Volatility Anomaly: Market Evidence on Systemic Risk vs. Mispricing

Researchers have demonstrated a long-term connection between future stock returns and various measures of prior stock price variability.

Journal Article

Covered Calls Uncovered

Journal Article

Covered Call Strategies: One Fact and Eight Myths

Call overwriting is a method of simultaneously expressing a view on a security and its volatility, and the CBOE S&P 500 BuyWrite Index (BXM) is one of many ways to get exposure to the equity and volatility risk premia.

White Paper

Covered Calls and Their Unintended Reversal Bet

Equity index covered calls have historically realized returns not much less than their underlying index with significantly less volatility.

Journal Article

The Limits to Arbitrage and the Low-Volatility Anomaly

Researchers have found that a strategy of buying prior low volatility stocks and selling prior high volatility risk stocks has historically generated substantial abnormal returns in the U.S.