The views expressed in the below papers and articles are solely those of the author of the article, and do not necessarily reflect the views of OIC; the information presented is not intended to constitute investment advice or recommendations to purchase or sell securities of any company; and the information presented is based upon particular events that may or may not recur in the future.

The Options Clearing Corporation 2020 Study of Options Investors

Since 1995, OIC, a service of OCC, has commissioned a study of the options investor every five years. The 2020 study, conducted by Greenwich Associates, LLC, explores similarities and differences between option users and non-option users. The study was designed to provide a comparison profile of options investors to investors who do not trade options, as well provide insight into the continued growth in options trading volume.
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Burton Taylor 2018 Report on European Demand for Exchange Listed Equity Options

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This latest study on European demand for US exchange-listed equity options builds upon previous studies done in 2014 and 2011. Order flow from Europe is estimated to account for 9% of total trading in US exchange-listed equity options. This has been against a background of sustained, low volatility. The upward spike in volatility in Q1 this year increased total US option market volume by over 30%. European investors are using US options to focus on income generation, capital appreciation and volatility strategies. There is significant opportunity to expand retail investor activity. Liquidity, price transparency and market structure are key drivers, with clearing house OCC reducing counterparty risk. 71% of those interviewed reported more demand for US equity options over the past 2 years.

Important research for those interested in the European market. See also:

2014 TABB Update on European Demand for US Listed Equity Options (PDF)
2013 TABB Report on European Demand for US Listed Equity Options (PDF)
2011 TABB Report on European Demand for US Listed Equity Options (PDF)
2006 Capco Initial Survey on European Demand for US Listed Equity Options (PDF)


Academic Research on Options-Based Investment Strategies

An academic research study, "The Performance of Options-Based Investment Strategies: Evidence for Individual Stocks During 2003-2013," conducted by Professors Michael L. Hemler, University of Notre Dame's Mendoza College of Business, and Thomas W. Miller, Jr., Mississippi State University, shows that some options-based portfolio strategies seemingly outperform long stock and improve the risk-return tradeoff of long equity portfolios over time. The study examined the relative performance of five different investment strategies, four options strategies and a long equity strategy, for individual stocks widely held in 401(k) plans from 2003 through 2013. Of these five strategies, the covered combination outperformed the others using four standard risk-adjusted performance measures. View the research paper or presentation for more findings.
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Research Report from SRP: ‘Structured Products and Listed Equity Options: An Industry Overview and Future Prospects’

This new report, commissioned by OIC from research firm (SRP), profiles recent trends in the European structured product market. The report profiles the creation and distribution of structured products. Why do people use them? How are they created? Deeper issues of interest to listed equity option market practitioners are also addressed, such as the outlook for these products and opportunities for listed equity options. The SRP study goes into considerable detail by country and also contains a useful glossary of terms.
Part 1: An Executive Summary, Research and Survey Findings (PDF)
Part 2: European Structured Product Market Overview (PDF)

Findings include:

  • 80% of European structured products are equity based.
  • Structured product sales volumes have experienced an overall decline amid regulatory changes and distributor consolidation, while ETF volumes have risen.
  • An estimated 15-30% of structured products are hedged on listed equity option exchanges.
  • Outlook: rising structured product volumes but a move to a listed/ cleared environment.


TABB Report on European Trading of US Listed Equity Options 'Shifting Demand in a Changing Landscape'

This latest report profiles recent trends in European order flow. A thorough revision of TABB's comprehensive 2011 study, with much new material. European demand for US listed equity options remains strong, with a competitive market structure, deep liquidity and transparency continuing to attract European customers. Also evident is the growing sophistication of European investors, shown by solid growth in directional, premium generation and volatility strategies.

Essential reading for those wishing to expand their European business.
2014 TABB Update on European Demand for US Listed Equity Options (PDF)
2013 TABB Report on European Demand for US Listed Equity Options (PDF)
2011 TABB Report on European Demand for US Listed Equity Options (PDF)
2006 Capco Initial Survey on European Demand for US Listed Equity Options (PDF)


Option-Based Risk Management in a Multi-Asset World by Edward Szado and Thomas Schneeweis (April 2012)

The contagion across asset classes during the 2008-2009 financial crisis suggests that protective option-based investment strategies such as collars, when implemented on a wide range of asset classes, could provide portfolios with greater downside risk protection than standard multi-asset diversification programs. In the recent book, Option Based Risk Management in a Multi-Asset World, Szado and Schneeweis extend their previous research on the performance of equity-based collar strategies by considering the impact of collar strategies across a wide range of asset classes, including equity, currency, commodity, fixed income and real estate. The results of the analysis show that for most of the asset classes considered, an option-based collar strategy, using six-month put purchases and consecutive one-month call writes, provides improved risk-adjusted performance and significant risk reduction.

Please note that studies conducted prior to February 2015 referred to the standard monthly options expiration date as the Saturday following the third Friday of the month. In February 2015, the standard monthly options expiration date became the third Friday of the month.
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Loosening Your Collar: Alternative Implementations of QQQ Collars

Szado and Schneeweis have updated the data in their original modified collar study through September 30, 2010. The appendix to the paper finds that a long protective collar strategy using 6-month put purchases and consecutive 1-month call writes earned far superior returns compared to a simple buy-and-hold strategy while reducing risk by almost 65%. Click here to download the new appendix, the summary brochure and the full paper.
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Societe Generale Buy-Write Strategy Simulations

The paper provides simulations on various buy-write strategies against the S&P 500 TR. The hypothetical strategies cover 1 week, 1 month and 3 month implementations and shows results for at-the-money and out-of-the-money implementations and segments the results through various market conditions (flat, bullish, bearish and very bullish).
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University of Massachusetts study on '15 Years of Russell 2000 Buy-Write'

This summary updates a 2007 study conducted by Kapadia and Szado from the University’s Isenberg School of Management. The research highlights 15 years of performance data ending March 31, 2011 and concludes that a passive buy-write strategy of one month to expiration calls on the Russell 2000 consistently outperformed the index. Over 182 months, the 2% out-of-the-money buy-write returned 263% (8.87% annually), while the return on the RUT was 226% (8.11% annually).  Over the entire period, the annualized standard deviation for the buy-write portfolio was 16.57%, almost 4.5% percentage points lower than for the RUT portfolio.
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ISEE vs. Dow Jones Industrial Average - 2008 in Review

Past analyses of ISEE values vs. market indices (DJIA and S&P 500) seemed to suggest that clusters of consecutive ISEE highs or lows may appear to signal changes in market direction, and usually the direction of the turn was contrarian to investor sentiment.
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Options Investing Strategies: The Drivers and Outlook for Pension Plans, Endowments, and Institutional Asset Managers from TowerGroup

This report explores:

  • The role that risk control and performance enhancement play in the options strategies used by institutional investors.
  • The growing acceptance of options usage without the fear of negative financial or reputational fallout.
  • The effectiveness of options strategies in achieving investment goals.

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Time Might Be Right to Don a Collar from Investment News

For nervous investors who still want equity exposure, puts and calls are a good way to hedge risk. Whether it is to help lock in last year's gains or to better use some of the more than $3 trillion parked in money market funds, the creative use of options may be just the tool that financial advisers need for dealing with skittish investors. (January 2010)
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Equity Options Trading 2008: Rising Out of Obscurity

This is a study conducted by the TABB Group to examine the explosive demand of equity options trading in the institutional community. Recent changes in regulatory initiatives and the introduction of new technologies have created seemingly insatiable demand from every quadrant of the asset management community... (February 2008)
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Finding Alpha via Covered Index Writing

By Joanne M. Hill, Venkatesh Balasubramanian, Krag Gregory and Ingrid Tierens of Goldman, Sachs & Co. Copyright 2006 by Goldman, Sachs & Co.
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Risk and Return Characteristics of the Buy-Write Strategy on the Russell 2000 Index

The Isenberg School of Management’s Center for International Securities and Derivatives Markets (CISDM) at the University of Massachusetts conducted this study and reviewed data from January 18, 1996 to November 16, 2006. The study concluded that a passive buy-write strategy of one month to expiration calls on the RUT consistently outperformed the index on a risk-adjusted basis.
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Collar Trade


A collar trade consists of selling one out-of the-money (OTM) call and buying one at-the-money (ATM) put for each 100 shares of stock owned. The expiration month is the first one available that is at least one year away. As a result, the position consists of a covered call (long stock and short OTM call) to collect income and a long put for protection. Provided by Options Trader Magazine.
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