covered call策略的報酬

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從1986年到2011年的25年間，BXM的策略表現不及PUT的策略，也就是買現股賣價平的call的策略之報酬率不及賣價平的put的報酬率。其中BXM的策略就是大家熟知的COVERED CALL策略，而PUT的策略就是大家比較不熟知的cash secured put(CSP)的策略
http://www.cboe.com/products/strategy-benchmark-indexes/buywrite-indexes/cboe-s-p-500-buywrite-index-bxm


Study on Index Options Writing by Asset Consulting Group
In February 2012 the Asset Consulting Group published a six-page paper -- "An Analysis of Index Option Writing for Liquid Enhanced Risk-Adjusted Returns". Key findings of the paper include:

• Total Growth. Total growth for indexes since mid-1986 was 1153% for PUT Index, 830%  for BXM Index, 807% for S&P 500® Index, and 368% for CLL Index (Exhibits 2 and 6).
• Lower Volatility. The PUT, BXM, and CLL indices all had volatility that was about 30 percent lower than the volatility of the S&P 500 Index (Exhibit 4).
• Left-tail Risk. Over the past 25 years, the worst monthly loss for the S&P 500 Index was a decline of 21.5 percent, compared to a relatively modest 8.6-percent monthly decline for the CLL Index (Exhibit 8e).
• Risk-adjusted Returns. One measure of risk-adjusted returns, the Sortino Ratio, was 0.90 for the PUT Index, 0.75 for BXY, 0.71 for BXM, 0.50 for S&P 500, and 0.31 for CLL Index (Exhibits 10 and 11).  Please note that all the indexes had negative skewness.
• Monthly Premium Income. The average for the gross monthly premiums collected by the BXM Index was 1.8 percent. The index options usually were richly priced (Exhibits 12 and 13).
  

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上一格表格之網頁連結:
http://www.cboe.com/products/strategy-benchmark-indexes

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CBOE做過研究，從1986年起到2016年，用30Delta的策略(BXMD)比用50Delta(BXM)策略的報酬好，如下表所示。因此，當我們有現貨，要去賣買權的時候，可以選擇稍微價外一點的，而不要選擇價平的。

不過這都是非常長期的研究。我要說的是，再空頭或盤整市場，用BXM的策略一定比用BXMD策略更好。