Although most financial market anomalies have been studied in securities markets, the options market has shown evidence of its own anomaly in the performance of covered calls on the S&P 500. This finding is puzzling in that this index is clearly a zero-alpha investment with very high volume...

This paper derives accurate inferences about the contribution of a high-dimensional set of option and stock characteristics to the cross-sectional variation in delta-hedged option returns. Unlike the extant literature that is largely focused on the construction of predictive models, we apply...