The study, which was sponsored by the OIC and conducted by the University of Massachusetts, showed that in the last nine years, using a protective collar strategy of a six-month put purchase and consecutive one-month call writes cut volatility to one-third of the Nasdaq-100 Index’s volatility. Moreover, the strategy returned more than 150% cumulatively, compared to 12% losses holding an ETF on the index would have incurred.
“We are trying to convince pension managers and other buyside institutions that with returns like these, it’s their obligation to consider options as an investment,” said Phil Gocke, managing director of OIC’s institutional division.
Thanks for your interest in Euromoney!
To unlock this article:
