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Journal Article
An Alternative Option to Portfolio Rebalancing
March 5, 2018
We explore how investors can use an implementable option selling overlay to improve portfolio rebalancing.
Perspective
Please Stop Talking About the VIX So Much
July 30, 2017
It has become quite commonplace to note that the VIX (the CBOE Volatility Index) is currently very low and to worry about it. But Cliff tends to think there's less to worry about than most.
Journal Article
Covering the World: Global Evidence on Covered Calls
July 7, 2017
Covered call strategies may be decomposed, using a risk and performance attribution methodology, into three components: equity exposure, short volatility exposure, and equity timing. This paper applies that attribution methodology to covered calls on 11 global indexes.
Working Paper
Credit Implied Volatility
March 10, 2015
This paper introduces the concept of a credit implied volatility surface. The credit implied volatility (CIV) can be interpretable as risk-neutral asset volatility of the underlying firm—the slope of the CIV term structure is negative in downturns and positive during expansions.
Working Paper
Cash-Flow Maturity and Risk Premia in CDS Markets
November 12, 2014
We study the risk adjusted returns of credit default swaps of different maturities to learn more about the impact of higher sensitivities to credit fundamentals.
Working Paper
Causes and Consequences of Margin Levels in Futures Markets
February 28, 2014
Using a Freedom of Information Act request, we obtained a data set on margin requirements for 16 commodity futures contracts, and used it to explore how margins are set and to test the existing theories on the implications of changing margin levels.
Journal Article
Demand-Based Option Pricing
February 25, 2009
Index and equity options are notoriously difficult to price.
Trade Publication
Ahead of the Curve: Time to Embrace Downside Risk
February 15, 2016
Buying equity put options to reduce a portfolio’s downside risk exposure is so attractive that the high cost of doing so all but offsets the benefit, the authors contend.
Working Paper
Generalized Recovery
March 1, 2016
We shed new light, both theoretically and empirically, on the Holy Grail in financial economics: decoding probabilities and risk preferences from asset prices.
Working Paper
Being Right is Not Enough: Buying Options to Bet on Higher Realized Volatility
September 27, 2018
Should investors who buy options expect to profit when realized volatility increases? If so, under what conditions? To answer these questions, we analyzed the relationship between long volatility performance (buying options) and contemporaneous changes in volatility.