This article shows that previous findings of the superior performance of covered calls on the S&P 500 are spurious because they ignore or dismiss skewness. While academics have previously identified this problem, the financial industry has largely ignored it. The authors show how the problem manifests in that traditional performance measures used in other studies show superior performance even with correctly priced options. They present two new estimates of covered call alphas—one that embeds a benchmark and the other that subtracts the benchmark—and find little basis for these prior claims. The authors also identify a bias in previous studies in which the chosen holding period disguises the effect of skewness. Their results, which are supported in both monthly and daily data, are consistent with intuition that holding the index and selling these widely traded options cannot generate alpha, as has been highly promoted in several practitioner articles. TOPICS: Options, performance measurement, exchange-traded funds and applications Key Findings • The documented abnormal performance of covered call writing is largely driven by disregard of skewness. • There are simple measures that can adjust the alpha of an option strategy for skewness. • The positioning of the holding period during the expiration month can disguise the problem.

中文翻译：

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标准普尔500指数看涨期权的“出色表现”：对异常的重新思考

本文表明，以前关于标准普尔500指数有盖期权的出色表现的发现是虚假的，因为它们忽略或消除了偏斜。虽然学者们以前已经发现了这个问题，但金融业基本上忽略了它。作者证明了问题的表现，即在其他研究中使用的传统绩效指标即使在定价正确的情况下也表现出优异的绩效。他们提出了两种新的涵盖通话α估计值-一种嵌入基准，而另一种则减去基准-并没有为这些先前的索赔找到任何依据。作者还发现，在先前的研究中存在偏见，在该偏见中，选定的持有期掩盖了偏斜的影响。他们的结果在每月和每天的数据中均得到支持，这与直觉是一致的，因为持有该指数并出售这些广泛交易的期权不能产生阿尔法，这在一些从业者文章中得到了高度推广。主题：期权，绩效衡量，交易所买卖基金和应用主要发现•记录在案的有担保认购权交易的异常表现很大程度上是由不偏不倚所致。•有一些简单的措施可以调整偏斜期权策略的阿尔法。•有效期的保留期可以掩盖问题。交易所买卖基金和应用的主要发现•记录在案的有担保认购交易的异常表现在很大程度上是由于不偏不倚所致。•有一些简单的措施可以调整偏斜期权策略的阿尔法。•有效期的保留期可以掩盖问题。交易所买卖基金和应用的主要发现•记录在案的有担保认购交易的异常表现在很大程度上是由于不偏不倚所致。•有一些简单的措施可以调整偏斜期权策略的阿尔法。•有效期的保留期可以掩盖问题。