Stats › Options, positions short et positionnement › Delta hedged returns
Seventeen single stock option sorts work gross and none of them works net
| Stage | Count | Source |
|---|---|---|
| Portfolio sort variables tested | 24 | O'Donovan and Yu, 2024 to 2025 |
| Producing positive and significant brut returns | 17 | Idem |
| Remaining profitable after trading costs | 0 | Idem |
| Restored by a cost mitigation approach | 7 | Idem |
| Claimed annual Sharpe from this family of sorts, after costs | Above 2 | Zhan, Han, Cao and Tong, Review of Financial Studies 2022 |
The live state of the single stock delta hedged option literature. A 2022 journal article reports an annual Sharpe above two surviving transaction costs. A 2024 working paper covering twenty four such sorts finds that none of the seventeen gross-significant ones survives costs. Neither source's full text could be opened, so neither carries magnitudes or t statistics here.
Seventeen of twenty four published sorts on delta hedged single stock option returns are significant gross. None remains profitable after trading costs, and the choice of how often you re-hedge has a first order effect on what those costs are.
Réservé aux membres
La suite de cette page est réservée aux membres
Below this point there are 5 sections and 4 named sources, roughly 750 words of it. Every figure carries the source it came from and the date the data is from.
Vous pouvez continuer à parcourir gratuitement toutes les statistiques de la bibliothèque. L'introduction et le résumé sont toujours accessibles.