AI & Algo Trading

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The Favorite/Long-Shot Bias in S&P 500 and Ftse 100 Index Futures Options: The Return to Bets and the Cost of Insurance

blog.edarchimbaud.com

The Favorite/Long-Shot Bias in S&P 500 and Ftse 100 Index Futures Options: The Return to Bets and the Cost of Insurance

edarchimbaud
Sep 3, 2023
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The Favorite/Long-Shot Bias in S&P 500 and Ftse 100 Index Futures Options: The Return to Bets and the Cost of Insurance

blog.edarchimbaud.com
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Original paper

SSRN-id424421.pdf

Trading rules

  • Sell at-the-money straddle with one month until maturity at bid price.

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