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Historical and Implied Volatility
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TABB Report on European Demand for US Listed Equity Options
Register here for a FREE downloadable PDF of research on European demand for US listed equity options. Conducted by financial markets research firm TABB Group, this new report profiles recent trends in European order flow. Complete with a profile of opportunities and challenges, it is a must-read for any firm or market professional dealing with or seeking to develop US equity option business from this key market.

Portfolio Margining - Recent Developments and Innovations in Single Stock Concentration Risk Management by Thomas J. Boczar and Douglas Engmann (PDF)
The authors discuss recent developments in risk management of concentrated single stock positions and portfolio margining rules which allow for more advantageous treatment of hedged, options-based collar positions."

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Featured Reports

University of Massachusetts study on “15 Years of Russell 2000 Buy-Write”.
This summary updates a 2007 study conducted by Kapadia and Szado from the University’s Isenberg School of Management. The research highlights 15 years of performance data ending  March 31, 2011 and concludes that a passive buy-write strategy of one month to expiration calls on the Russell 2000 consistently outperformed the index. Over 182 months, the 2% out-of-the-money buy-write returned 263% (8.87% annually), while the return on the RUT was 226% (8.11% annually).  Over the entire period the annualized standard deviation for the buy-write portfolio was 16.57%, almost 4 ½ percentage points lower than for the RUT portfolio. View summary brochure (PDF).

Download the full study.

Loosening Your Collar: Alternative Implementations of QQQ Collars (PDF)
Szado and Schneeweis have updated the data through September 30, 2010 in their original modified collar study. The appendix to the paper finds 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%. Click here to download the updated summary brochure and the full paper.


The Striking Price
January 21, 2012
The Volatility Illusion

Investors and pundits are greatly overstating the extent of market gyrations. Why that bodes well for U.S. stocks.

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