A Primer on Pumping and Dumping: How Hedge Funds Do It and How Others Might Profit

Pumping and dumping occurs when the price of a stock is artificially inflated and then drops. Here, we illustrate how hedge funds can accomplish pumping and dumping, and argue why this strategy is likely to be successful for them. We illustrate why writing a short-term in-the-money covered call option might constitute an informed speculation when pumping and dumping is suspected. In contradistinction to the usual practice, estimating the returns of a strategy which is based upon the predictable characteristics of pumping and dumping would be best tested prospectively, and social media communities might fruitfully participate in such research.

A Study of the Performance of Option Strategy Benchmark Index in Global Option Markets

While most previous studies have analyzed the performance of the Option Strategy Benchmark Index (SBI) in a specific market such as S&P500 and KOSPI200, this study comprehensively investigates the performance of the option SBIs in nine global options markets in Europe, Asia, and Oceania. In the empirical analysis using the sample data from September 2008 to April 2019, the main results of this study are as follows. First, most of the option SBIs generally provide better performance than the simple buy-and-hold strategy, which is mainly due to a reduction in risk rather than improvement in returns. Second, the option SBIs based on straddle or protective put, one of the most popular option trading strategies, perform poorly in almost all markets, whereas the option SBIs based on covered call or (cash) covered put show relatively good performance. Finally, there is no significant difference in the performance of the option SBIs between markets in the same region or those with a similar level of development. However, we found significant differences in the performance of the option SBIs between Europe and Asia and developed and emerging markets.

If you plan to write a covered call option which will expire does traditional option pricing theory apply and, if not, what can replace the Greeks?

The primary goal of option pricing theory is to calculate the probability that an option will be exercised at expiration. These calculations are often summarized using "the Greeks", for example, theta is the expected change in the price of the option associated with a 1-unit change in time. Options can either be traded or held until expiration. If the investor's intention is to write a covered call option which will expire, and is indifferent between whether or not the option is exercised, then option pricing theory in general and the Greeks in particular are not directly relevant to them. Here, we consider the question of what information in fact is important to an investor who writes such a covered call option, and then explore the extent to which an analogy between that investor's analysis and the Greeks can be developed. A case study is presented, and then it is demonstrated that an analogue of theta addresses the same general construct of time value decay. The degree to which the writing of covered calls is an investment strategy versus a speculative strategy is also considered. In conclusion, for an investor who intends to write a covered call option with the intention of allowing it to expire, even though the Greeks are not directly helpful, the principles which underpin their derivation very much are.

The impact of market drops is different for investors before and after retirement

As applied to investing for and during retirement, the popular financial press has promulgated two memes about the impact of market drops: (1) for those investing for retirement market drops aren’t problematic; and (2) for those in retirement market drops are. We use simulation to illustrate the logic behind these memes, to demonstrate that they are mostly but not entirely true, and finally to restate them more precisely. Although sequence of returns risk is not present during the accumulation phase as an investor plans for retirement, it can have a significant (and perhaps underestimated) impact during retirement. This, however, can place the retiree in a predicament – namely, settle for lower returns and lower distributions during retirement or gamble on stocks. However, it does not necessarily imply that retirees must abandon the expected returns associated with stocks, because of the ability to write deep-in-the-money covered call options, which harvest the expected market return (but no more than this) with limited variability.

A simple method for amateur investors to analyze covered call options

We describe a simple method which amateur investors can use to analyze covered calls. The most basic version is based on the formula for the expectation of a truncated Gaussian distribution, and it can be generalized to accommodate other assumptions. This approach might be especially considered during a time of market overvaluation, such as the present. During such times, investors should shift their preferences toward writing deep-in-the-money covered calls, which provide a greater margin of safety while monetizing the (probably optimistic) expectations of other market participants regarding future returns.

Mobility Pattern Probing of Mobile Users using Call Data Record Dataset

Colossal measures of information are currently being gathered because of the expanded use of portable media communications. The aims of the mobile phone clients can't be watched, their expectations are reflected in the call information which characterize use designs. Over some undefined time, frame, an individual telephone produces an enormous example of utilization. In this paper, we examine the solo learning possibilities of two neural systems for the profiling of brings made by clients over a time allotment in a versatile media transmission arrange. Our inquest gives a similar examination to client call information records so as to direct a clear information mining on clients call designs. Our examination demonstrates the preparation capacity of the two systems to segregate client call designs. The arranged highlights can later be deciphered and marked dependent on explicit necessities of the versatile specialist organization. Along these lines, suspicious call practices are separated inside the portable media transmission organize. We give results utilizing covered call information from a genuine portable media transmission arranges

Golden Chariot Capital’s Foray into Option Trading

The case presents a real-life situation faced by a research analyst to improve the performance of the funds under management by exploring the opportunities in the options market. Golden Chariot Capital (GCC), an investment firm with ₹500 million worth of assets under management, was failing in its objective to provide long-term capital appreciation with a steady income to its investors. GCC had its funds invested in publicly traded common stocks and corporate bonds. In the last 8 months, GCC failed to match up with the benchmark index. Ms Indira, a research analyst at GCC, was given the task to identify and suggest alternate avenues of investment. Indira brought forward a proposal to explore the derivatives market in general and options market in particular to improve the fund performance. After going through Indira’s proposal, few fund managers at GCC were reluctant to expose their funds to the speculative market of options. Hence, Indira was asked to conduct a pilot study on the payoffs resulting from selected income strategies using options. As an illustration, Indira came up with five income strategies comprising covered call, covered put, short straddle, short strangle and long iron condor that involved either selling of options resulting in income or reduction of cost of the portfolio. The case will help the students to learn about options and their payoffs, as well as strategies involving various options. The case is equally useful for practitioners taking a balanced view of the market to develop appropriate options related to income strategies.

Systemic Risk Indicators Based on Nonlinear PolyModel

The global financial market has become extremely interconnected as it demonstrates strong nonlinear contagion in times of crisis. As a result, it is necessary to measure financial systemic risk in a comprehensive and nonlinear approach. By establishing a large set of risk factors as the main bones of the financial market network and applying nonlinear factor analysis in the form of so-called PolyModel, this paper proposes two systemic risk indicators that can prognosticate the advent and trace the development of financial crises. Through financial network analysis, theoretical simulation, empirical data analysis and final validation, we argue that the indicators suggested in this paper are proved to be very effective in forecasting and tracing the financial crises from 1998 to 2017. The economic benefit of the indicator is evidenced by the enhancement of a protective put/covered call strategy on major stock markets.

Momentum and Covered Calls Almost Everywhere

This article examines times series momentum and covered call strategies through conventional representations across ten asset classes. The performance of the two strategies generally outperform static buy and hold investments and are classified as positive and negative autocorrelation factors. The tactical overlay of time series momentum and covered call strategies onto asset classes are considered asset transformations. The two transformed replacements of the underlying asset are incorporated into well-established risk-based allocation heuristics, such as maximum diversification and equal risk contribution. The resulting portfolios show enhanced risk-adjusted performance compared with corresponding buy and hold investments or individual strategy portfolios. The authors designate this global tactical asset allocation framework as autocorrelation factor allocation (ACFA).