15. Volatility selling (on equity indices)

  1. Antti Ilmanen

Published Online: 25 MAY 2012

DOI: 10.1002/9781118467190.ch15

Expected Returns: An Investor's Guide to Harvesting Market Rewards

Expected Returns: An Investor's Guide to Harvesting Market Rewards

How to Cite

Ilmanen, A. (2011) Volatility selling (on equity indices), in Expected Returns: An Investor's Guide to Harvesting Market Rewards, John Wiley & Sons, Ltd., Chichester, West Sussex, UK. doi: 10.1002/9781118467190.ch15

Publication History

  1. Published Online: 25 MAY 2012
  2. Published Print: 21 MAR 2011

ISBN Information

Print ISBN: 9781119990727

Online ISBN: 9781118467190

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Keywords:

  • volatility selling;
  • equity index options;
  • high risk premia;
  • single-stock options;
  • business strategy

Summary

This chapter contains sections titled:

  • Introduction

  • Historical performance of volatility-trading strategies

  • Tweaks/Refinements

  • The reasons volatility selling is profitable

  • Other assets

  • Notes