Generating profit using option selling strategies

Stanley Choi; Dong Gang; Kin Keung Lai

doi:10.1109/BIFE.2012.45

Generating profit using option selling strategies

Stanley Choi
, Dong Gang
, Kin Keung Lai

Research output: Chapters, Conference Papers, Creative and Literary Works › RGC 32 - Refereed conference paper (with host publication) › peer-review

Abstract

In this paper, option selling strategy is discussed which is different from traditional equity and commodity trading strategies. Option selling strategies can achieve various non-linear Profit & Loss (P&L) graphs instead of traditional linear P&L graph. Option sellers make money through taking advantage of time value of option. Option sellers collect premium as time elapses. Selling straddle is proposed in this research. The strategy is back-tested using Hang Seng Index (HSI) Option data. The return of the proposed strategy is compared with HSI and its performance greatly outperforms HSI. The great profit generating ability of option selling strategy is verified in this paper. © 2012 IEEE.

Original language	English
Title of host publication	Proceedings of the 2012 5th International Conference on Business Intelligence and Financial Engineering, BIFE 2012
Pages	177-180
DOIs	https://doi.org/10.1109/BIFE.2012.45
Publication status	Published - 2012
Event	2012 5th International Conference on Business Intelligence and Financial Engineering, BIFE 2012 - Lanzhou, Gansu, China Duration: 18 Aug 2012 → 21 Aug 2012

Conference

Conference	2012 5th International Conference on Business Intelligence and Financial Engineering, BIFE 2012
Place	China
City	Lanzhou, Gansu
Period	18/08/12 → 21/08/12

Research Keywords

Component
Option
Option selling
Straddle
Trading strategy

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@inproceedings{0067029fbe684412b3c6d05d47c41f08,

title = "Generating profit using option selling strategies",

abstract = "In this paper, option selling strategy is discussed which is different from traditional equity and commodity trading strategies. Option selling strategies can achieve various non-linear Profit \& Loss (P\&L) graphs instead of traditional linear P\&L graph. Option sellers make money through taking advantage of time value of option. Option sellers collect premium as time elapses. Selling straddle is proposed in this research. The strategy is back-tested using Hang Seng Index (HSI) Option data. The return of the proposed strategy is compared with HSI and its performance greatly outperforms HSI. The great profit generating ability of option selling strategy is verified in this paper. {\textcopyright} 2012 IEEE.",

keywords = "Component, Option, Option selling, Straddle, Trading strategy",

author = "Stanley Choi and Dong Gang and Lai, \{Kin Keung\}",

year = "2012",

doi = "10.1109/BIFE.2012.45",

language = "English",

isbn = "9780769547503",

pages = "177--180",

booktitle = "Proceedings of the 2012 5th International Conference on Business Intelligence and Financial Engineering, BIFE 2012",

note = "2012 5th International Conference on Business Intelligence and Financial Engineering, BIFE 2012 ; Conference date: 18-08-2012 Through 21-08-2012",

}

Choi, S, Gang, D & Lai, KK 2012, Generating profit using option selling strategies. in Proceedings of the 2012 5th International Conference on Business Intelligence and Financial Engineering, BIFE 2012., 6305106, pp. 177-180, 2012 5th International Conference on Business Intelligence and Financial Engineering, BIFE 2012, Lanzhou, Gansu, China, 18/08/12. https://doi.org/10.1109/BIFE.2012.45

Generating profit using option selling strategies. / Choi, Stanley; Gang, Dong; Lai, Kin Keung.
Proceedings of the 2012 5th International Conference on Business Intelligence and Financial Engineering, BIFE 2012. 2012. p. 177-180 6305106.

Research output: Chapters, Conference Papers, Creative and Literary Works › RGC 32 - Refereed conference paper (with host publication) › peer-review

TY - GEN

T1 - Generating profit using option selling strategies

AU - Choi, Stanley

AU - Gang, Dong

AU - Lai, Kin Keung

PY - 2012

Y1 - 2012

N2 - In this paper, option selling strategy is discussed which is different from traditional equity and commodity trading strategies. Option selling strategies can achieve various non-linear Profit & Loss (P&L) graphs instead of traditional linear P&L graph. Option sellers make money through taking advantage of time value of option. Option sellers collect premium as time elapses. Selling straddle is proposed in this research. The strategy is back-tested using Hang Seng Index (HSI) Option data. The return of the proposed strategy is compared with HSI and its performance greatly outperforms HSI. The great profit generating ability of option selling strategy is verified in this paper. © 2012 IEEE.

AB - In this paper, option selling strategy is discussed which is different from traditional equity and commodity trading strategies. Option selling strategies can achieve various non-linear Profit & Loss (P&L) graphs instead of traditional linear P&L graph. Option sellers make money through taking advantage of time value of option. Option sellers collect premium as time elapses. Selling straddle is proposed in this research. The strategy is back-tested using Hang Seng Index (HSI) Option data. The return of the proposed strategy is compared with HSI and its performance greatly outperforms HSI. The great profit generating ability of option selling strategy is verified in this paper. © 2012 IEEE.

KW - Component

KW - Option

KW - Option selling

KW - Straddle

KW - Trading strategy

UR - https://www.scopus.com/pages/publications/84868109107

UR - https://www.scopus.com/pages/publications/84868109107#tab=impact

U2 - 10.1109/BIFE.2012.45

DO - 10.1109/BIFE.2012.45

M3 - RGC 32 - Refereed conference paper (with host publication)

SN - 9780769547503

SP - 177

EP - 180

BT - Proceedings of the 2012 5th International Conference on Business Intelligence and Financial Engineering, BIFE 2012

T2 - 2012 5th International Conference on Business Intelligence and Financial Engineering, BIFE 2012

Y2 - 18 August 2012 through 21 August 2012

ER -

Generating profit using option selling strategies

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