English
Rejoindre la liste d'attente
Les livres... mais pas gratuits
10 Strategier Som Slår BörsenSvenska10 Strategier Som Slår Börsen10 Strategies That Beat the MarketEnglish10 Strategies That Beat the MarketProRealTime Coding Made SimpleEnglishProRealTime Coding Made Simple
600+StatistiquesStatistiques de marché et edges1,327StratégiesBibliothèque de stratégies backtestées18Articles de rechercheL’étude derrière les algos301DocumentationRéférence ProBuilder27Programme de développement d’algosCours et leçons24Tout ceci alimente les 24 algosVoir les algos

Stats › Options, positions short et positionnement › Index put premium

The famous index put premium is not statistically significant

0.94 moneyness
-56.8%
0.96 moneyness
-52.3%
0.98 moneyness
-44.7%
1.00 moneyness
-29.9%
1.02 moneyness
-19.0%

Average monthly return to BUYING S&P 500 futures puts, August 1987 to June 2005, 215 months. t statistics run from minus 3.3 to minus 4.2. Writing the puts earns the opposite sign. The pattern is clean, monotonic and, for the deepest strikes, not statistically distinguishable from a model with no mispricing in it.

Buying out-of-the-money S&P 500 puts lost 56.8% a month for eighteen years, a figure quoted everywhere as proof that crash insurance is overpriced. Under a finite-sample test the same number has a p value of 8.1% and does not reject.

-56.8%Monthly return to buying the 0.94 moneyness S&P 500 put, 1987 to 2005
8.1%Finite-sample p value of that figure against Black-Scholes
24.1%The same p value against a stochastic volatility model
-15.7%Monthly return to at-the-money straddles, which does survive the test

Réservé aux membres

La suite de cette page est réservée aux membres

Below this point there are 6 sections, 1 table and 2 named sources, roughly 550 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.