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Using option prices to trade the underlying asset

J. H. Venter et al.

Journal of Investment Strategies2024https://doi.org/10.21314/jois.2024.012article
AJG 1
Weight
0.30

What the paper says

Option trading provides rich sets of data that may be used to trade their underlying assets effectively. Strategies for this purpose are discussed in this paper. These strategies use the call and put prices of option chains to estimate the consensus features of the future probability distribution of the price of the underlying asset. This enables a trader to predict the expected profit and expected loss that may be experienced when trading in the asset. The expected profit and expected loss are metrics of reward and risk for such trades. Trading rules based on these metrics are shown to be effective when applied dynamically to historical data of the option chains underlain by the Standard & Poor’s 500, Dow Jones and Nasdaq indexes.

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https://doi.org/https://doi.org/10.21314/jois.2024.012

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@article{j.2024,
  title        = {{Using option prices to trade the underlying asset}},
  author       = {J. H. Venter et al.},
  journal      = {Journal of Investment Strategies},
  year         = {2024},
  doi          = {https://doi.org/https://doi.org/10.21314/jois.2024.012},
}

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Using option prices to trade the underlying asset

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Evidence weight

0.30

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.00 × 0.4 = 0.00
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.