Topic
Options spread
About: Options spread is a research topic. Over the lifetime, 4 publications have been published within this topic receiving 139 citations.
Papers
TL;DR: In this paper, the performance of four options spread strategies on the Indian stock market index, Nifty, was analyzed using monthly data for the 2007-2018 period, and the results have been analyzed on the basis of profitability (in terms of points earned or lost in Nifty).
Abstract: The main aim of this study is to analyze the performance of four different options spread strategies on the Indian stock market index, Nifty. These strategies are analyzed using monthly data for the 2007–2018 period. The four strategies used in this analysis are 1) bull call spread, 2) bull put spread, 3) bear call spread, and 4) bear put spread. The results have been analyzed on the basis of profitability (in terms of points earned or lost in Nifty) and monthly success rate. The result shows that bull spread strategies have a higher success rate than the bear spread strategies. Further, the bull call and put spread strategy is found to be profitable while the bear call and put spread strategy is found to produce losses. Comparing both bull spread strategies on the basis of profitability, the bull call spread strategy is shown to be 2.75 times more profitable than the bull put spread strategy. Because of higher profitability, the bull call spread can be used consistently in Nifty. Better return of the bull spread strategies indicates that Nifty exhibits less bearish than bullish behavior while the better performance of bull call spread over bull put spread indicates that the Indian stock market gives excessive return to the investor. For any trader on the Nifty, these findings will be useful for trading. TOPICS:Options, performance measurement, emerging markets
5 citations
Patent•
13 Jun 2013
TL;DR: In this article, a futures exchange trading futures and futures options spread products is proposed, which will list a variety of futures and options (intra and inter market) spread instruments.
Abstract: The present invention creates a futures exchange trading futures and futures options spread products. More specifically, the present invention will create a futures exchange that will list a variety of futures and futures options (intra and inter market) spread instruments. These unique spreads will be created from ongoing price discovery generated at global exchanges but then converted into a tradable single currency product at the new exchange. The product will be cash settled and deliverable in the traded currency.
2 citations
Posted Content•
TL;DR: In this paper, the authors study the increasing use of stock options to compensate executives in US corporations and argue that the diffusion of options was initially given a jump-start by a change in the tax law, but thereafter it was propelled by a process in which firms learned from the experience of earlier adopters.
Abstract: We study the increasing use of stock options to compensate executives in US corporations. As with many technological innovations, the adoption curve exhibits a classic S-shaped pattern: the rate rises slowly at first, then there is a period of rapid acceleration, and finally it tails off as the saturation level is approached. Using a longitudinal data set of Frydman and Saks (2010) supplemented with financial reports compiled by the authors, we argue that the diffusion of options was initially given a jump-start by a change in the tax law, but thereafter it was propelled by a process in which firms learned from the experience of earlier adopters. The notion that options spread primarily through social conformity or ‘jumping on the bandwagon’ is not borne out by the data.
1 citations
Book•
1 Dec 1996
TL;DR: From vanilla to exotic options vanilla options pricing methodology packages options forward-start options power options binary options compound options pay later options/Boston options/installment options Asian options barrier options lookback options ladder options correlation binary options exchange options product and ratio options two-color rainbow options spread options outperformance options currency-translated options basket options basket binary options pricing correlation options with uncertain correlation coefficients possible further developments.
Abstract: From vanilla to exotic options vanilla options pricing methodology packages options forward-start options power options binary options compound options pay later options/Boston options/installment options Asian options barrier options lookback options ladder options correlation binary options exchange options product and ratio options two-color rainbow options spread options outperformance options currency-translated options basket options basket binary options pricing correlation options with uncertain correlation coefficients possible further developments.
Performance Metrics
| Year | Papers |
|---|---|
| 2019 | 1 |
| 2016 | 1 |
| 2013 | 1 |
| 1996 | 1 |