Dispersion Trading: Empirical Evidence from U.S. Options Markets
A 2008 paper by Marshall on options trading strategies in volatility and options: the abstract mentions a benchmark and transaction costs and leaves out an out-of-sample test, multiple testing and the size of the universe.
“Using end-of-day implied volatilities extracted from equity option prices for the stocks that comprise the S&P 500, I calculate the implied volatility of the S&P 500 using a modification of the Markowitz variance equation.”
AssetVolatility and optionsoptions, indices
StrategyOptions strategiesportfolio optimization
GeographyUS
InputsOptions-implied
Also stated: benchmark, costs
Missing from abstract: out-of-sample test, multiple testing, universe
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