Options strategies on volatility
44 papers on options strategies on volatility as a systematic trading strategy. Options strategies papers on vIX, variance and option markets: 44 of the 84 in options trading strategies. 12 name a method, most often mathematical derivation (5). The most cited is Delta-Hedged Gains and the Negative Market Volatility Risk Premium (2001).
Papers441999–2026
Share of the family52 %44 of 84
| cited by | method | ||
|---|---|---|---|
| Delta-Hedged Gains and the Negative Market Volatility Risk Premium by Kapadia and Bakshi | 221 | Mathematical derivation | 2001 |
| Expected Option Returns by Shumway and Coval | 182 | Linear factor models +1 | 1999 |
| Volatility-of-volatility risk by Huang et al. | 104 | 2018 | |
| Option Strategies: Good Deals and Margin Calls by Saretto and Santa‐Clara | 48 | 2005 | |
| Why Does Volatility Uncertainty Predict Equity Option Returns? by Cao et al. | 22 | 2018 | |
| Unlocking ESG Premium from Options by Cao et al. | 18 | 2023 | |
| Improving Portfolio Performance with Option Strategies: Evidence from Switzerland by Isakov and Morard | 13 | 2006 | |
| Very Noisy Option Prices and Inferences Regarding Option Returns by Duarte et al. | 9 | 2019 | |
| Retail Clientele and Option Returns by Choy | 9 | Classical time series | 2010 |
| Volatility Dispersion Trading by Deng | 9 | 2008 | |
| Option Spread and Combination Trading by Chaput and Ederington | 9 | 2002 | |
| Evaluation of Investment Strategies with Options by Fernandes and Machado-Santos | 8 | 2002 | |
| The Index Effect: Evidence from the Option Market by Hollstein and Simen | 5 | 2021 | |
| The Performance of Equity Index Option Strategy Returns During the Financial Crisis by Schulte and Stamos | 2 | 2015 | |
| Short-term and Long-term Strategies for Dealing with Financial Risk Exposures by Henriques-de-Brito | 1 | 2022 | |
| Relative Risk Perception and the Puzzle of Covered Call Writing by Siddiqi | 1 | 2015 | |
| Mental Accounting: A New Behavioral Explanation of Covered Call Performance by Siddiqi | 1 | 2014 | |
| Some Formulae for Evaluating Two Popular Option Strategies by Ferguson | 1 | 2008 | |
| Call Calendar Spread on Overnight Option Strategy by Tang et al. | 0 | 2026 | |
| Convex Tail Risk Dominates Poor Man's Covered Call Outcomes Despite High Win Rates by Khan | 0 | 2026 | |
| Engineering the Mean-Reversion Delay in Dispersion Trading: A Market-Implied Finite-Dimensional Proxy for High-Dimensional Correlation Manifolds by WANG | 0 | Mathematical derivation | 2026 |
| From Natural Language to Executable Option Strategies via Large Language Models by Luo et al. | 0 | Language models | 2026 |
| Profitability of Delta-Neutral Option Strategies on Nifty 50 and Constituent Stocks: Evidence from 2019-2024 by Pillai | 0 | Classical time series | 2026 |
| Volatility Arbitrage via Dispersion Trading & Implied Correlation in Indian Equity Index Options by Nunes | 0 | Mathematical derivation | 2026 |
| Volatility Disagreement in the Options Market by Bali et al. | 0 | 2026 | |
| WHICH EARNINGS STRADDLES TO SELL? A MACHINE LEARNING APPROACH by Loya | 0 | Tree ensembles | 2026 |
| An IPCA Factor Model for SSE 50ETF Option Returns by Liu et al. | 0 | Linear factor models | 2025 |
| Investigation to discover a Robust Standardized Template for Option Straddle Strategy in Indian Markets by Srivastava and Sumra | 0 | Classical time series | 2024 |
| Options Selling Using Machine Learning by Joshi et al. | 0 | 2024 | |
| Effectiveness of Various Options Strategies for Exchange-Traded Funds by Mahadevan | 0 | 2023 | |
| Forecasting Volatility in the S&P 500 Index - An Empirical Test of Option Market Efficiency by Kinlay | 0 | Classical time series | 2023 |
| The Quest for Alpha in Equity Gamma by Oliveira and Wasserstein | 0 | 2023 | |
| USD interest rate swaption strategies during the unconventional monetary policy and pandemic eras by Shirokawa et al. | 0 | 2023 | |
| Option Pricing Via Breakeven Volatility by Hull et al. | 0 | 2021 | |
| Systematic Russell 2000 Index Option Strategies in Different Volatility Regimes by Rhoads | 0 | 2018 | |
| Option Strategies Evaluation by Kumar | 0 | 2015 | |
| Riding the Swaption Curve by Duyvesteyn and de Zwart | 0 | 2012 | |
| Profit-and-Loss of Option Strategies under Quadratic Skew Parametrization by Sepp | 0 | 2010 | |
| Volatility Mean Reversion and the Cross-Section of Option Returns by Vasquez | 0 | 2010 | |
| Do Option Investors Ignore Volatility Mean Reversion? by Vasquez | 0 | 2009 | |
| The Cross-Section of Average Delta-Hedge Option Returns Under Stochastic Volatility by Ibáñez | 0 | Mathematical derivation | 2008 |
| Enhanced indexation using both equity assets and index options by Valle and Beasley | 2026 | ||
| Dispersion Trading: Empirical Evidence from U.S. Options Markets by Marshall | 2008 | ||
| Delta Hedged Option Valuation with Underlying Non-Gaussian Returns by Moriconi | 2006 |
Papers on options strategies on volatility from other families
6 papers| filed under | ||
|---|---|---|
| Downside and Volatility Risk Premia in Derivatives Markets: Quantitative Strategies and Hedge-Fund Trading Behaviour by Abhinav | Volatility risk premium | 2026 |
| Navigating IV: Options Trading Strategy in Earnings Season by Lu | Event-driven strategies | 2026 |
| 17-Year Backtest of Straddles around SP500 Earnings Announcements by Khan and Khan | Event-driven strategies | 2024 |
| Peer Option Momentum by Li and Yang | Momentum and trend following | 2024 |
| The Volatility Risk Premium: An Empirical Study on the S&P 500 Index by Guo and Loeper | Volatility risk premium | 2021 |
| Trading the VIX Futures Roll and Volatility Premiums with VIX Options by Simon | Volatility risk premium | 2015 |