Comparison of the results of long and short straddle option strategies on the WIG20 during 2005-2015

Marcin Flotyński

Abstract

There is a huge variety of derivatives on the Polish financial market (i.a. options and futures on stocks or indices). Options offer a lot of possibilities in the creation of advanced strategies. They can be used during variable market trends, in changeable circumstances, and are dependent on forecasted price level and volatility. The aim of the article is to investigate what was the rate of return of two options strategies: long straddle and short straddle. The research hypothesis was formulated that, in the years 2005–2015, strategies which were used on the assumption of the low volatility of the WIG20’s value, offered higher rates of return than other strategies. In the empirical research, quotations from the Warsaw Stock Exchange have been utilized. In the period given, higher profitability was obtained by selling options.
Author Marcin Flotyński (WE / KTPiPP)
Marcin Flotyński,,
- Department of Money Theory and Monetary Policy
Journal seriesFINANSE Czasopismo Komitetu Nauk o Finansach PAN, ISSN 1899-4822, (B 12 pkt)
Issue year2017
No1(10)
Pages167-193
Publication size in sheets1.3
Keywords in Englishoption strategies, long straddle, short straddle, derivatives, financial market
URL http://www.knfpan.pan.pl/images/Fin._110-17_10-J.Flotynski.pdf
Languageen angielski
Score (nominal)12
ScoreMinisterial score = 12.0, 17-10-2019, ArticleFromJournal
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