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- W146442362 abstract "In this paper, we formulate the mechanics of a potential S&P GSCI® Crude Oil Covered Call Index and explore the impact of writing covered call strategies across a range of strikes and market environments. Our findings suggest that covered calls are able to reduce volatility and drawdown of a pure S&P GSCI Crude Oil position in a variety of market environments. Covered call strategies outperform a pure S&P GSCI Crude Oil position over a market cycle of the last five years. They outperform in periods of flat to down markets, but may underperform in time periods when crude oil prices experience sharp upward moves." @default.
- W146442362 created "2016-06-24" @default.
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- W146442362 date "2009-01-01" @default.
- W146442362 modified "2023-09-28" @default.
- W146442362 title "Covered Calls Indices in Crude Oil Markets" @default.
- W146442362 doi "https://doi.org/10.2139/ssrn.1399926" @default.
- W146442362 hasPublicationYear "2009" @default.
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