Post by saladinarabi on Jun 11, 2009 6:57:32 GMT 4
Covered Calls Indices in Crude Oil Markets
Berlinda Liu
Standard & Poor's
Srikant Dash
Standard & Poor's
May 6, 2009
Abstract:
In this paper, we formulate the mechanics of a potential S&P GSCI® Crude Oil Covered Call Index and explore the impact of writing covered call strategies across a range of strikes and market environments. Our findings suggest that covered calls are able to reduce volatility and drawdown of a pure S&P GSCI Crude Oil position in a variety of market environments. Covered call strategies outperform a pure S&P GSCI Crude Oil position over a market cycle of the last five years. They outperform in periods of flat to down markets, but may underperform in time periods when crude oil prices experience sharp upward moves.
papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1399926_code1182306.pdf?abstractid=1399926&mirid=1
Berlinda Liu
Standard & Poor's
Srikant Dash
Standard & Poor's
May 6, 2009
Abstract:
In this paper, we formulate the mechanics of a potential S&P GSCI® Crude Oil Covered Call Index and explore the impact of writing covered call strategies across a range of strikes and market environments. Our findings suggest that covered calls are able to reduce volatility and drawdown of a pure S&P GSCI Crude Oil position in a variety of market environments. Covered call strategies outperform a pure S&P GSCI Crude Oil position over a market cycle of the last five years. They outperform in periods of flat to down markets, but may underperform in time periods when crude oil prices experience sharp upward moves.
papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1399926_code1182306.pdf?abstractid=1399926&mirid=1