Still Not Cheap: Portfolio Protection in Calm Markets
研究了全球10个权益指数，发现即使市场平静、期权价格低，购买看跌期权进行投资组合保险仍然昂贵，因为期权预期价值更低。
Recent equity volatility is near all-time lows. Option prices are also low. Many analysts suggest this represents a good opportunity to purchase put options for portfolio insurance. It is well-known that portfolio insurance is expensive on average, but what about in calm markets? History suggests it still is. The authors investigate the relationship between option richness and volatility across 10 global equity indexes. Option prices may be low, but their expected values tend to be even lower. <b>TOPICS:</b>Global, portfolio management/multi-asset allocation