Schonberger, Bryce; Subramanyam, K. R.; Hong, Hyun A. - 2015 - Draft: August 2015
stock prices. Further analysis suggests that high costs of trading options — implied volatility premiums and transaction … costs — could prevent traders from exploiting these profit opportunities. However, we find some evidence of unexploited … profit opportunities of significant magnitudes, even after transaction costs, for trading strategies that sell options. Our …