TABLE 2
FROM:
Great in practice, not in theory: An empirical examination of covered call writing
Michael L McIntyre and David Jackson
BACK TO ARTICLETable 2. Summary of simulation results
| 30 day | 60 day | 90 day | ||||
|---|---|---|---|---|---|---|
| K 1 (%) | K 2 (%) | K 1 (%) | K 2 (%) | K 1 (%) | K 2 (%) | |
| Panel A: Covered call returns as a percent of buy-and-hold returns | ||||||
| BS | 93.7 | 98.7 | 84.8 | 93.9 | 75.5 | 87.3 |
| CEV | 93.7 | 98.9 | 84.4 | 94.5 | 74.5 | 87.9 |
| LEV | 94.1 | 98.9 | 85.5 | 94.6 | 76.6 | 88.5 |
| JD | 94.2 | 99.3 | 85.6 | 94.8 | 76.4 | 88.2 |
| HES | 93.5 | 98.8 | 84.0 | 93.9 | 74.0 | 86.8 |
| Panel B: Covered call volatility as a percent of buy-and-hold volatility | ||||||
| BS | 90.2 | 97.5 | 75.8 | 88.7 | 55.6 | 75.6 |
| CEV | 90.7 | 98.4 | 75.9 | 90.7 | 55.4 | 78.3 |
| LEV | 91.0 | 98.0 | 76.8 | 90.4 | 56.9 | 78.2 |
| JD | 90.7 | 96.3 | 76.7 | 87.6 | 58.1 | 75.1 |
| HES | 90.6 | 97.7 | 76.9 | 90.0 | 57.6 | 77.8 |
