We recently published a performance review of at-the-money (ATM) NDX straddles with between one and five days left to expiration. One finding was that consistent sellers of 3-Day, 4-Day, and 5-Day NDX ...

The financial markets have experienced strong volume growth in the short- dated index option arena. This paper explores the performance of short-dated index options versus the subsequent price move in ...

A straddle can be considered a volatility spread, as the trader who puts on the straddle is speculating on the volatility, or degree of movement of the underlying, not necessarily the direction of ...