A strangle is a popular options strategy that involves holding both a call and a put on the same underlying asset. It yields ...
The financial markets have experienced strong volume growth in the short- dated index option arena. This paper explores the performance of short-dated index options versus the subsequent price move in ...
We recently published a performance review of at-the-money (ATM) NDX straddles with between one and five days left to expiration. One finding was that consistent sellers of 3-Day, 4-Day, and 5-Day NDX ...
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