/biz/ - Business & Finance

Anonymous Sun Dec 24 17:39:25 2023 No.57080993 [View]
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>>57080393
>"Option Momentum" Heston, Jones, Khorram, Li & Mo, April 2022
>https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4113680
ATM 0 Delta Straddles, dynamically hedged
Long/Short portfolios where one quintile is longed, the other is shorted.
>1 month cross sectional mean reversion
>2-12 month cross sectional momentum
>Implied-minus-historical volatility
>Implied volatility term spread
The authors discard 1 month mean reversion on the grounds of it's high beta with IV-HV, but fail to comment that it also has high beta with Idiosyncratic Volatility factor without the horrible risk.

My blog post showing the hypothetical performance of trading options using only these 4 signals will be out next month.

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