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AN examination of short QQQ option trades

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  • David P. Simon

Abstract

This study shows that unconditional QQQ option selling strategies from January 2001 through November 2004 are generally significantly profitable after transactions costs. However, when straddle and strangle sales are combined with purchases of out of the money puts, few of the strategies are significantly profitable. Profits improve when the QQQ Volatility Index is high relative to time series volatility forecasts, but only when actual volatility is forecast to be moderate. Active delta‐hedging reduces profitability, whereas stop loss/take profit orders enhance profitability. Overall, QQQ short volatility trades appear to be less compelling than what others have found with S&P options. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:739–770, 2007

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  • David P. Simon, 2007. "AN examination of short QQQ option trades," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 27(8), pages 739-770, August.
    • Handle: RePEc:wly:jfutmk:v:27:y:2007:i:8:p:739-770
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