IDEAS home Printed from
   My bibliography  Save this book chapter

Returns from Investing in S&P500 Futures Options, 1985–2010



  • Alexandre Ziegler
  • William T. Ziemba


Puts and calls on S&P500 futures are bought and sold for various purposes including speculation, hedging, and portfolio insurance. We investigate the rate of return from buying or selling these options from 1985 until 2010. These rates of return are variable and depend upon the trading horizons, the level of the VIX volatility index, whether the options are in or out or near the money and whether the market is rallying or in a crash mode. We specifically study the 2007–2009 stock market crash period and various bullish market periods. Our results show that while selling out of- the-money options is generally profitable, it sometimes generates steep losses. Hence, speculators trying to take advantage of mispriced options are wise to utilize accurate prediction models, devise variable types of hedged strategies, be well capitalized to weather market storms and have strategies in place to deal with them.

Suggested Citation

  • Alexandre Ziegler & William T. Ziemba, 2015. "Returns from Investing in S&P500 Futures Options, 1985–2010," World Scientific Book Chapters, in: Anastasios G Malliaris & William T Ziemba (ed.), THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 21, pages 643-688, World Scientific Publishing Co. Pte. Ltd..
  • Handle: RePEc:wsi:wschap:9789814566926_0021

    Download full text from publisher

    File URL:
    Download Restriction: Ebook Access is only available upon purchase of title/chapter from Publisher's website.

    File URL:
    Download Restriction: Ebook Access is only available upon purchase of title/chapter from Publisher's website.

    As the access to this document is restricted, you may want to search for a different version of it.


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:wschap:9789814566926_0021. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Tai Tone Lim). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.