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

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