We uncover new return predictability in the cross-section of delta-hedged equity options. Expected returns to writing delta-hedged calls are negatively correlated with stock price, profit margin, and firm profitability, but positively correlated with cash holding, cash flow variance, new shares issuance, total external financing, distress risk, and dispersion of analysts’ forecasts. Our option portfolio strategies have annual Sharpe ratio above two and remain profitable after transaction costs. Their profits can be explained by two option factors, while equity risk factors have no explanatory power. We find support for several economic channels at work, yet the option return predictability remains puzzling.

中文翻译：

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期权收益可预测性

我们在 delta 对冲股票期权的横截面中发现了新的回报可预测性。持有 delta 对冲看涨期权的预期回报与股价、利润率和公司盈利能力呈负相关，但与现金持有量、现金流量差异、新股发行、外部融资总额、困境风险和分析师预测的分散性呈正相关. 我们的期权投资组合策略的年度夏普比率高于 2，并且在扣除交易成本后仍保持盈利。他们的利润可以用两个期权因素来解释，而股票风险因素没有解释力。我们发现几个经济渠道在起作用，但期权回报的可预测性仍然令人费解。