by understanding not why an investor bought or wrote an option at a particular price, but why that price does not align …

option portfolios. The new methodology preserves the variance swap interpretation that decomposes returns into realized … variance and option implied-variance.We apply this new methodology to explore return momentum on option portfolios across …). In contrast to stock momentum, option momentum lasts for up to five years, and does not reverse …

Conventional financial theory considers ex-ante that risk, generally measured by the volatility, has to be … underlying assets in order to establish a two-way strategy; first performing pure equity option strategies and then blending …

including out-of-the-money options or delta-hedging the returns. Unlike stock momentum, option return continuation is not …This paper investigates the performance of option investments across different stocks by computing monthly returns on … volatility and other characteristics. Across stocks, trading costs are unrelated to the magnitude of momentum profits …

If you have experience in option trading, or a strong understanding of the options markets, but want to better …