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Research Report from Equity Group: Premium Selling

In: Proceedings of the 2022 2nd International Conference on Economic Development and Business Culture (ICEDBC 2022)

Author

Listed:
  • Siyun Li

    (Shanghai Everbright Asset Management, Investment Associate)

  • Chengxuan Liu

    (University of Xi′an Jiaotong-Liverpool, School of Mathematical Science)

  • Weicong Liang

    (University of United International College, School of science and technology)

Abstract

This article illustrates the premium selling strategy and its performance in Chinese option market. Analyzing the advantages and disadvantages of strategy application. This work will show the performance of traditional option strategy in Chinese market, whether it is effective or not. We choose options whose delta that is most close to our target value. Selling the option and collecting the premium as profit, undertaking extreme fluctuation of option price as risk, which is the main theme of our strategy. Furthermore, this paper will include backtest procedure and all major parts that should be involved in trading strategy such as signal generation, quotative analysis, qualitative analysis, portfolio construction and performance analysis.

Suggested Citation

  • Siyun Li & Chengxuan Liu & Weicong Liang, 2022. "Research Report from Equity Group: Premium Selling," Advances in Economics, Business and Management Research, in: Yushi Jiang & Yuriy Shvets & Hrushikesh Mallick (ed.), Proceedings of the 2022 2nd International Conference on Economic Development and Business Culture (ICEDBC 2022), pages 1291-1305, Springer.
    • Handle: RePEc:spr:advbcp:978-94-6463-036-7_191
    DOI: 10.2991/978-94-6463-036-7_191
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