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Keywords: ATM Straddle
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2016) 24 (4): 619–646.
Published: 30 November 2016
... and ATM straddles, regardless of investors’ preferences. Using the intraday data on KOSPI200 index options, one of the most actively traded options in the world, we analyze the differences in optimal choice between ‘position traders (i.e., long-term investors)’ and ‘day traders (i.e., short-term investor...
