Medium-term option strategy simulation and evaluation in the volatility market: The Post-Pandemic Era
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Vishal Kumar, Dhruv Chaudhary, Xu Yaoyao
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This investigation examines the performance and risk-adjusted efficiency of five medium-term option trading strategies, such as Covered Call, Protective Put, Straddle, Iron Condor, and Strangle, on three high-volatility stocks: AMD, NVIDIA, and Tesla, from the time period 2021 till 2024. In the investigation of profitability, volatility, and consistency under a multitude of market situations, including post-pandemic volatility and volatility regime shifts, the study simulates 90-day holding strategies with rolling 30-day periods using the Black-Scholes-Merton model. However, in the result, the iron condor performed better than all the investigated strategies at all times. In the overall conclusion, the findings provide practical suggestions for institutional investors and investment professionals looking for the most advantageous risk-return trade-offs, highlighting the Iron Condor's resilience as the most balanced and risk-efficient trading strategy for medium-term trading in volatile markets.
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Authors
Vishal Kumar, Dhruv Chaudhary, Xu Yaoyao
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