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Full-Text Articles in Social and Behavioral Sciences
Option Strangles: An Analysis Of Selling Equity Insurance, Clemens Kownatzki, Hisam Sabouni
Option Strangles: An Analysis Of Selling Equity Insurance, Clemens Kownatzki, Hisam Sabouni
Graziadio Working Paper Series
Our results suggest, selling SPY strangles are generally profitable across a variety of widths. However, the payoff profile of a short option strangle exposes the contract seller to a potential for unlimited losses. Our evidence on maximum drawdowns indicates that losses on some positions can be the equivalent of the profits gained on approximately forty prior positions. This payoff profile has given rise to the metaphor of selling option contracts as the equivalent of “picking up nickels in front of a steam roller.” The goal of our paper is to analyze the full return characteristics of option strangles and to …
Empty Discarded Pack Data And The Prevalence Of Illicit Trade In Cigarettes In California, James Prieger
Empty Discarded Pack Data And The Prevalence Of Illicit Trade In Cigarettes In California, James Prieger
School of Public Policy Working Papers
Illicit trade in tobacco products (ITTP) creates many harms including reduced tax revenues; damages to the economic interests of legitimate actors; funding for organized-crime and terrorist groups; negative effects of participation in illicit markets, such as violence and incarceration; and reduced effectiveness of smoking-reduction policies, leading to increased damage to health. To study the prevalence of tax avoidance and ITTP, we analyze a large, novel set of data from empty discarded pack (EDP) studies. In EDP studies, teams of researchers collect all cigarette packs discarded in publicly accessible spaces of selected neighborhoods. Packs are examined for the absence of local …