White Papers & Research Articles
White Papers
The CBOE Volatility Index - VIX (PDF / 1.71MB)
VIX provides a snapshot of expected stock market volatility over the next 30 calendar days and is calculated real-time from index option premiums. This paper discusses in detail, modifications done in September 2003 to the calculation methodology to incorporate more strike prices, make the calculated number independent of any pricing model and to change from using S&P 100 Index options to S&P 500 Index options. Provided by CBOE.
Mutual Funds & Listed Options: Portfolio Management Strategies (PDF)
An overview of various ways to hedge large diversified portfolios using listed options. Examples provide descriptions for both positive and negative outcomes. This paper also provides a general idea of the legal and taxation issues as they relate to option use with mutual funds. Provided by CBOE.
Corporate Stock Repurchase Programs & Listed Options (PDF)
Given the recent popularity of corporate stock repurchase programs, this paper provides detailed information on how a corporation engaged in this activity may use either standardized or FLEX options to help reduce the cost or hedge these share buyback programs. Provided by CBOE.
Individual Retirement Accounts and Keogh Plans (PDF)
This paper covers both positive and negative effects of portfolio strategies that may be more suitable for use in retirement accounts. Legal and accounting issues are also addressed specific to a variety of retirement accounts. Provided by CBOE.
ERISA Pension Funds & Listed Options (PDF)
Information regarding ways for pension funds to incorporate the use of listed options into their portfolio management strategies. Ideas discussed include ways to gain market exposure with option positions and using options to hedge equity market risk. There is also an overview of legal issues related to a pension fund's use of listed options. Provided by CBOE.
Hedge Funds & Listed Options (PDF)
Covers ways hedge funds may use various option strategies to gain market exposure with limited, predefined risk and strategies to hedge potential downside exposure. A legal and regulatory review is provided as they relate specifically to hedge funds using options. Provided by CBOE.
High-net-worth Investors & Listed Options (PDF)
Provides portfolio management strategies for affluent investors, family offices and trust companies who wish to engage in options trading to gain market exposure or hedge their investments. Addresses information on options transactions involving insiders, affiliates and restricted securities in addition to an overview of taxation issues involving option trades. Provided by CBOE.
Research Articles
Equity Options Trading 2008: Rising Out of Obscurity
This is a study conducted by the TABB Group to examine the explosive demand of equity options trading in the institutional community. Recent changes in regulatory initiatives and the introduction of new technologies have created seemingly insatiable demand from every quadrant of the asset management community... (February 2008)
Finding Alpha via Covered Index Writing (PDF)
By Joanne M. Hill, Venkatesh Balasubramanian, Krag Gregory, and Ingrid Tierens of Goldman, Sachs & Co. Copyright 2006 by Goldman, Sachs & Co.
Risk and Return Characteristics of the Buy-Write Strategy on the Russell 2000 Index (PDF)
This study was conducted by the Isenberg School of Management’s Center for International Securities and Derivatives Markets (CISDM) at the University of Massachusetts and reviewed data from January 18, 1996 to November 16, 2006 concluding that a passive buy-write strategy of one month to expiration calls on the RUT consistently outperformed the index on a risk adjusted basis. You can also view the article summary (PDF).
Collar Trade (PDF)
A collar trade consists of selling one out-of the-money (OTM) call and buying one at-the-money (ATM) put for each 100 shares of stock owned. The expiration month is the first one available that is at least one year away. As a result, the position consists of a covered call (long stock and short OTM call) to collect income and a long put for protection. Provided by Options Trader Magazine.
