I am looking for all kinds of research concerning option trading strategies. With that I mean papers that publish results on different option trading strategies properly backtested with real-world data.
I did some digging and found the following papers - most of them offering quite a distinct perspective compared to classical option pricing theory!
- Stock Options as Lotteries by Brian H. Boyer et al. (2011)
- The Efficiency of the Buy-Write Strategy: Evidence from Australia by Tafadzwa Mugwagwa et al. (2010)
The following is my favorite: You could do some backtests on your own with freely available data (using the VXO as volatility information) and with any spreadsheet - easy and elegant:
- How Students Can Backtest Madoff’s Claims by Michael J. Stutzer (2009)
- Loosening Your Collar: Alternative Implementations of QQQ Collars by Edward Szado et al. (2009)
- A Study of Optimal Stock & Options Strategies by Mihir Dash et al. (2008)
- Is There Money to Be Made Investing in Options? A Historical Perspective by James S. Doran et al. (2008)
I will update this answer from time to time when new interesting papers arive:
Since I, too, have been very interested in this question, I will share some of my findings in the dual hope of encouraging comments on the papers and eliciting more activity on this question.
- Ammann, Skovmand, and Verhofen (2008): Implied and Realized Volatility in the Cross-Section of Equity Options
- Ang, Bali, and Cakici (2010): The Joint Cross Section of Stocks and Options
- Bali and Murray (2011): Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio
- Cao and Han (2011): Cross-Section of Option Returns and Stock Volatility
- Constantinides, Jackwerth, and Savov (2011): The Puzzle of Index Option Returns
- Deng (2008): Volatility Dispersion Trading
- Driessen, Lin, and Hemert (2011): How the 52-Week High and Low Affect Option-Implied Volatilities and Stock Return Moments
- Jones and Shemesh (2010): The Weekend Effect in Equity Option Returns