Option strategies: Good deals and margin calls

被引:78
作者
Santa-Clara, Pedro [2 ,3 ]
Saretto, Alessio [1 ]
机构
[1] Purdue Univ, Krannert Sch, W Lafayette, IN 47907 USA
[2] Univ Nova Lisboa, P-1099038 Lisbon, Portugal
[3] NBER, P-1099038 Lisbon, Portugal
关键词
Limits to arbitrage; Option strategies; MARKET VOLATILITY; RISK; ARBITRAGE; PRICES; MODEL; PERFORMANCE; IMPACT; PREMIA; BOUNDS; JUMP;
D O I
10.1016/j.finmar.2009.01.002
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
We provide evidence that trading frictions have an economically important impact oil the execution and the profitability of option strategies that involve writing out-of-the-money put options. Margin requirements, in particular, limit the notional amount of capital that can be invested in the strategies and force investors to close down positions and realize losses. The economic effect of frictions is stronger when the investor seeks to write options more aggressively. Although margins are effective in reducing counterparty default risk, they also impose a friction that limits investors from supplying liquidity to the option market. (C) 2009 Elsevier B.V. All rights reserved.
引用
收藏
页码:391 / 417
页数:27
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