TABLE 6
FROM:
Great in practice, not in theory: An empirical examination of covered call writing
Michael L McIntyre and David Jackson
BACK TO ARTICLETable 6. Annualised returns from covered call writing compared to the buy-and-hold strategy
| Covered call | |||||||
|---|---|---|---|---|---|---|---|
| 30 Day | 60 Day | 90 Day | Buy and Hold | ||||
| A (%) | B (%) | A (%) | B (%) | A (%) | B (%) | ||
| Panel A | |||||||
| ALD | -4.20 | -3.12 | 0.18 | -1.34 | 1.13 | -0.47 | -3.43 |
| BBL | 13.99 | 15.84 | 16.55 | 18.94 | 7.78 | 12.34 | 17.11 |
| BOT | 2.45 | 2.06 | 4.74 | 3.00 | 2.54 | 1.71 | 0.35 |
| BP | 23.14 | 23.31 | 21.90 | 22.71 | 20.95 | 22.63 | 20.92 |
| BSS | -10.51 | -10.88 | -1.85 | -3.19 | -4.96 | -3.61 | -1.20 |
| CAD | 3.25 | 6.47 | 8.96 | 8.30 | 7.94 | 8.12 | 5.82 |
| CIR | 7.47 | 7.79 | 8.72 | 9.27 | 8.70 | 9.72 | 5.60 |
| CUA | 7.21 | 3.01 | 6.29 | 4.93 | 7.84 | 5.34 | 0.86 |
| CW | 5.11 | 8.36 | 8.36 | 9.25 | 8.60 | 8.87 | 7.19 |
| DIX | 6.37 | 8.20 | 11.36 | 13.12 | 7.63 | 8.95 | 11.30 |
| GXO | 25.46 | 27.17 | 22.30 | 25.03 | 11.78 | 16.03 | 27.26 |
| HSB | 13.12 | 15.88 | 13.65 | 15.88 | 6.91 | 11.46 | 14.86 |
| ICI | 8.29 | 11.35 | 12.76 | 15.34 | 6.87 | 8.66 | 16.13 |
| LMO | -4.81 | -1.17 | -0.74 | -0.41 | -0.39 | -1.51 | -3.03 |
| MS | 4.79 | 4.30 | 8.34 | 6.17 | 8.24 | 5.85 | 0.35 |
| PO | -7.12 | -6.99 | -5.37 | -6.21 | -4.61 | -6.51 | -7.07 |
| RTZ | 8.53 | 10.81 | 11.79 | 12.01 | 8.03 | 10.40 | 7.89 |
| RUT | 6.89 | 8.67 | 6.57 | 7.72 | 6.01 | 8.33 | 9.51 |
| RYL | 18.58 | 16.53 | 21.91 | 20.78 | 18.06 | 18.32 | 14.63 |
| SAN | 3.67 | 7.25 | 7.81 | 8.92 | 4.16 | 5.97 | 5.42 |
| STL | -3.49 | -3.83 | -1.05 | -0.88 | -0.11 | -2.25 | -4.18 |
| TAR | 1.06 | 2.50 | 5.41 | 6.81 | 8.97 | 8.14 | 3.94 |
| TCO | 2.48 | -1.28 | 0.34 | -0.28 | 0.45 | -0.79 | -5.12 |
| TW | 19.72 | 18.31 | 18.38 | 18.90 | 19.38 | 20.40 | 15.92 |
| ULV | 2.51 | 4.28 | 3.83 | 3.70 | 4.04 | 4.55 | 4.88 |
| VOD | 10.75 | 8.72 | 7.20 | 8.77 | 6.53 | 7.71 | 6.94 |
| ZCA | 30.39 | 33.91 | 23.06 | 28.18 | 22.99 | 25.10 | 33.43 |
| Panel B | |||||||
| VWP | 10.93 | 11.90 | 11.82 | 12.78 | 9.26 | 10.42 | 11.50 |
| EWP | 10.35 | 11.45 | 10.83 | 11.90 | 8.75 | 9.81 | 10.95 |
| Panel C | |||||||
| Winners | 11 | 19 | 19 | 21 | 16 | 18 | |
A denotes the nearest the money strategy, and B denotes the next-nearest the money strategy.
