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Historical and Implied Volatility
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White Papers

ISEE vs. Dow Jones Industrial Average - 2008 in Review (PDF)
Past analyses of ISEE values vs. market indices (DJIA and S&P 500) seemed to suggest that clusters of consecutive ISEE highs or lows may appear to signal changes in market direction, and usually the direction of the turn was contrarian to investor sentiment.

Options Based Portfolio Management Strategies - An Idea Whose Time Has Arrived (PDF)
West Chester Capital Advisors has released a paper written by the firm's Chief Investment Officer & Principal, Thomas F. McKeon, CFA. The white paper discusses several options strategies which can be used as tools to manage portfolio risk and augment income within asset allocation and portfolio construct. Mr. McKeon states: "Investors of all stripes should be willing to consider OBPMS. The return and risk data is compelling. More return with less risk is the holy grail...... " (May 2009)

Click to view more White Papers and Research Articles

Collaring the Cube: Protection Options for a NASDAQ 100 ETF Portfolio (PDF) 
A study by Szado and Kazemi of the University of Massachusetts evaluated nine years of data on the Powershares QQQ exchange traded fund and found that a protective collar strategy using a six month put purchase and consecutive one month call writes provided far superior returns compared with buying and holding the NASDAQ-100 Index® ETF with about one-third of the index volatility. Over the 108 month study period, this collar strategy returned more than 150% cumulatively, while the cube portfolio lost over 12%.

You can also view the six page summary (PDF) of the paper which also provides a collar tutorial on the back pages.

Useful Links
Loosening Your Collar: Alternative Implementations of QQQ Collars

Loosening Your Collar: Alternative Implementations of QQQ Collars
A ten year study by the Center for International Securities and Derivatives Markets at the University of Massachusetts found that a long protective collar strategy using 6-month put purchases and consecutive 1-month call writes earned far superior returns compared to a simple buy-and-hold strategy while reducing risk by almost 65%. The research evaluated passive and active implementations of long protective collar strategies on the Powershares QQQ Exchange-Traded Fund (Ticker: QQQQ). The study also simulated a collar on a small cap mutual fund. The return of the active mutual fund collar was four times the return of the fund, while the standard deviation was about one-third lower. Over the 122-month study period, the passive collar returned almost 150% while QQQ lost one-third of its value. The active collar outperformed both strategies and returned more than 200%. (September 2009)

Click here to access the study as well as a summary.


The Striking Price
Daily Striking Price: March 16, 2010
What's Bad for Google Is Good for Baidu

Here's a way to profit from Google's troubles in China.

March 15, 2010
Timing Is Everything in a Riot

Options-conference economists see dark shadow over markets.

Streaming Webcasts
Interactive Brokers Webinar: Loosening Your Collar: Alternative Implementations of QQQ Collars

Courtesy of Interactive Brokers webinar series -- Philip Gocke, Managing Director of the Options Industry Council discusses a new study by the University of Massachusetts, "Loosening Your Collar: Alternative Implementations of QQQ Collars" by Ed Szado and Thomas Schneeweis.

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