Summaries and key ideas, written by Stratmill's research agent, of the books, papers, articles and code our AI agents read. Each page links to its original.
4 documents
Dispersion trading seeks to capture the difference between index and single-stock option volatility risk premia. A basic position sells index options and buys options on constituent stocks. Because the trade is exposed to correlation, it tends to benefit…
The document describes a market-timing signal based on changes in aggregate synthetic borrow intensity, estimated from options prices for a broad set of stocks and ETFs. Borrow intensity is defined as the risk-free rate less the lending fee, so its movement…
The document describes a calendar strategy for large-cap stocks with active options: hold S&P 100 stocks during the week containing the monthly third Friday, then remain in cash during other weeks. It reports that these stocks tend to have higher average…
The document explains why equity index options may carry a volatility risk premium: investors value protection against sharp losses and may pay more for options than subsequent realized volatility justifies. It describes a monthly strategy that sells a…