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Options‐based benchmark indices—A review of performance and (in)appropriate measures

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  • Markus Natter

Abstract

This paper reviews the performance and profitability of different option strategy benchmark indices provided by the CBOE. Using different performance approaches, I show that performance measurement of these indices is highly complex and sensitive to the model choice. Moreover, this study controls for time‐varying delta exposure via linear timing approaches and uses a linear option‐factor model that is independent from the portfolio composition. Splitting the sample, I find that outperformance reported by previous studies is mostly driven by limited data. Moreover, the profitability of option strategies for private investors is evaluated based on easily investable investment products.

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  • Markus Natter, 2018. "Options‐based benchmark indices—A review of performance and (in)appropriate measures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(2), pages 271-288, February.
    • Handle: RePEc:wly:jfutmk:v:38:y:2018:i:2:p:271-288
    DOI: 10.1002/fut.21865
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    1. Pratish Patel & Andrew Raquel & Savannah Chadwick, 2024. "The cash-secured put-write strategy and the variance risk premium," Journal of Asset Management, Palgrave Macmillan, vol. 25(1), pages 31-50, February.

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