RSS
 

Capturing the volatility premium through call overwriting

15 Feb 2013

Article by: Scott Maidel, Karl Sahlin
Published by: Russell Investments
Date: Dec 2010

“Systematic call overwriting strategies are valuable tools in the investment toolbox. They can provide income, attractive risk adjusted returns and the potential for a cushion during market downturns. In this paper, we explore call overwriting, the impact of strategy construction and performance across various market environments.”

Full article (PDF): Link

 
Comments Off

Posted in Trading ideas

 

Comments are closed.

 
© Copyright 2018 RealVol LLC. All rights reserved