Options‐based benchmark indices—A review of performance and (in)appropriate measures
评述了CBOE提供的不同期权策略基准指数的绩效与盈利能力，发现绩效衡量高度复杂且对模型选择敏感，并指出先前研究中的优异表现主要由有限数据驱动。
This paper reviews the performance and profitability of different option strategy benchmark indices provided by the CBOE. Using different performance approaches, I show that performance measurement of these indices is highly complex and sensitive to the model choice. Moreover, this study controls for time‐varying delta exposure via linear timing approaches and uses a linear option‐factor model that is independent from the portfolio composition. Splitting the sample, I find that outperformance reported by previous studies is mostly driven by limited data. Moreover, the profitability of option strategies for private investors is evaluated based on easily investable investment products.