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Comparison of the results of long and short straddle option strategies on the WIG20 during 2005–2015

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Flotyński M.

FINANSE Czasopismo Komitetu Nauk o Finansach PAN

2017

issue 1(10)

167-193

There is a huge variety of derivatives on the Polish financial market (i.a. options and futures on stocks or indices). Options offer a lot of possibilities in the creation of advanced strategies. They can be used during variable market trends, in changeable circumstances, and are dependent on forecasted price level and volatility. The aim of the article is to investigate what was the rate of return of two options strategies: long straddle and short straddle. The research hypothesis was formulated that, in the years 2005–2015, strategies which were used on the assumption of the low volatility of the WIG20’s value, offered higher rates of return than other strategies. In the empirical research, quotations from the Warsaw Stock Exchange have been utilized. In the period given, higher profitability was obtained by selling options.

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1 FINANSE Czasopismo Komitetu Nauk o Finansach PAN

1 Flotyński M.

1 2017

Search results

Comparison of the results of long and short straddle option strategies on the WIG20 during 2005–2015