SP 500 Index Option Returns Market Reversals
The article presents new evidence supporting demand-based option pricing theory and the limits of arbitrage in option pricing, indicating that imperfect hedging or weekly rebalancing yield higher risk-adjusted returns for option writers.
Featured in No. 101 on 11 Jun 2025 · 6 days after release
- Released
- 5 Jun 2025
- First featured
- No. 101 · 11 Jun 2025
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 5284206
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