Methods and Analysis of Collar Strategies

Authors

  • N. El-Hassan University of Technology, Sydney
  • A. Hall NCER, Queensland University of Technology
  • I. Tulunay University of New South Wales

DOI:

https://doi.org/10.33423/jabe.v23i8.4882

Keywords:

business, economics, option strategies, collar strategy, protective puts, covered-call, buy-write strategy, equity index portfolio with option strategies, portfolio performance, portfolio management

Abstract

An equity portfolio with a collar strategy consists of a long position in the underlying index together with long put options for insurance and short call options to mitigate the cost of insurance or enhance the return. Using the S&P/ASX 200 index, this study investigates the performances of fourteen collar strategies and for comparison two protective put strategies. We consider two simulations: one with traded option market data and the other utilizing Black-Scholes option prices. The investigation period is 2008−2016 and we consider three sub-periods representing different market conditions. The active collar strategies considered follow those introduced by Szado & Schneeweis (2010a). As a summary of our results, the best performing strategies are a protective put and a zero-cost collar.

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Published

2021-12-29

How to Cite

El-Hassan, N., Hall, A., & Tulunay, I. (2021). Methods and Analysis of Collar Strategies. Journal of Applied Business and Economics, 23(8). https://doi.org/10.33423/jabe.v23i8.4882

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Articles