Systematic Russell 2000 Index Option Strategies in Different Volatility Regimes
A 2018 paper by Rhoads on options trading strategies in volatility and options: the abstract does not mention a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“Investor interest in RUT option strategies resulted in customers asking how other methods of systematically utilizing RUT options have performed in the past.”
AssetVolatility and optionsoptions
StrategyOptions strategies
GeographyGlobalUS
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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