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Group No: 3528
NANYANG TECHNOLOGICAL UNIVERSITY
NANYANG BUSINESS SCHOOL
A Study of Option Trading Strategies
Group Members
Lim Wei, Jackson Tay Cheng Sun, Shane Yang Shufan
Supervisor: Assoc. Prof Bobby Sundaravaradhan Srinivasan
Applied Research Project submitted to the Nanyang Business School, Nanyang Technological University in partial fulfillment for the degree of Bachelor of Accountancy and Bachelor of Business
ATTENTION: The Singapore Copyright Act applies to the use of this document. Nanyang Technological University Library
Academic Year 2004/2005
ACKNOWLEDGEMENTS
First and foremost, we would like to express our heartfelt gratitude to our Applied Research Project Supervisor,
Assoc. Prof Bobby Sundaravaradhan Srinivasan
for his valuable guidance, patience, advice and continued support in supervising our project.
i
ATTENTION: The Singapore Copyright Act applies to the use of this document. Nanyang Technological University Library
ABSTRACT
This paper examines several option trading strategies, namely, strap, strangle and straddle, compares the profitability of short and long strategies and examines the factors that influenced the results.
A diversified portfolio of 14 selected companies with options actively traded on the New York Stock Exchange was studied and analysed based on the period from the end of 2004 to the first quarter of 2005.
Results revealed that the short strategies generated a far superior return compared to the long strategies. A ...