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Performance of covered calls

Board, John, Sutcliffe, C. and Patrinos, E. (2000) Performance of covered calls. European Journal of Finance, 6 (1). pp. 1-17. ISSN 1351-847X

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Identification Number: 10.1080/135184700336937


Writing call options against long positions in the underlying equities is the most popular options strategy. Since the variance is an inadequate measure of risk for options strategies, this paper uses a range of dominance criteria and four utility functions to compare the performance of partly and fully covered call strategies with that of the underlying equity portfolio. It is found that the dominance criteria are ineffective in choosing between strategies. However, all four utility functions (representing different combinations of absolute and relative risk aversion) find that the covered call strategy is preferable for the data period studied, supporting the widespread use of this strategy.

Item Type: Article
Official URL:
Additional Information: © 2000 Taylor & Francis Ltd
Divisions: Finance
Subjects: H Social Sciences > HJ Public Finance
Date Deposited: 17 Feb 2010 12:29
Last Modified: 15 May 2024 23:51

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