December 24, 2008 - Testing A Simple Index Covered Calls Strategy
December 24, 2008 - Testing A Simple Index Covered Calls Strategy (flag)
www.cxoadvisory.com — A rolling covered call strategy on a broad market index suppresses portfolio volatility, but its return performance is sensitive to trading frictions.
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Friday links: savings, bankrutcy and microgiving
Abnormal Returns — ... “Does iteratively selling short-term, slightly out-of-the-money covered calls on a broad stock index position reliably outperform buying and holding the index?”  (CXO Advisory Group) ...

Readings: Covered calls, Trust bust & Money printing, Gold fundamentals
GalaTime — ... CXOAG: Testing A Simple Index Covered Calls Strategy ...

End of Year Volatility Links
VIX and More — ... Economic News for the Holidays: Volatility is Down (Ian Ayres, Freakonomics) Research Brief: Looking for Clues in Economic Volatility (James Picerno, The Capital Spectator) The Demand for Risk and a Macroeconomic Theory of Credit Default Swaps: Part I (Charles Davi, Derivative Dribble) Ideas for Volatile Times: Upside-Down Split-Strikes (Brian Overby, The Options Insider) Testing a Simple Index Covered Calls Strategy (CXO Advisory Group) International ...

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S&P 500 Now Down 52% From All-Time High
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There have now only been two periods in the history of the S&P; 500 where the index declined more than 50% from an all-time high -- 1929 and now. In the first chart below, we highlight the percentage change from the S&P; 500's most recent all-time ...
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Let us look into the first example, where one is sitting at a paper loss and they are willing to decrease it. The severity of the loss that would make you sell covered calls varies from individual to individual based off their risk tolerance. Let’s ...
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U.S.
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S&P 500 Index's `Retest' of Low Fails to Spur Rally (Update1) By Elizabeth Stanton Nov. 18 (Bloomberg) -- The Standard & Poor's 500 Index is poised to extend this year's 42 percent drop after a rally from last week's five-year low lasted just one day, ...
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GranthamS&Pprofitmargins.png The good news: The S&P 500 is trading near fair value. The bad news: If the current post-bubble low follows previous post-bubble lows, the S&P 500 will probably bottom around 600. First things first, however: Long-term ...
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On days like today, it helps to look at the silver lining. Here it is: The farther stocks fall, the cheaper they get--and the higher the expected long-term return becomes. Unfortunately, that doesn't mean we don't have a long way to go on the ...
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The S&P; 500 closed at a 68-month low today. Given that the CPI report came out today, here’s an interesting stat. Adjusted for inflation, the S&P; 500 has advanced just 23.9% in 40 years. Annualized, that’s 0.54%. This means that almost the ...
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