Papers about backtesting option trading strategies

Question

I am looking for all kinds of research concerning option trading strategies. With that I mean papers that publish results on different option trading strategies properly backtested with real-world data.

Answer 1

I did some digging and found the following papers - most of them offering quite a distinct perspective compared to classical option pricing theory!

• Stock Options as Lotteries by Brian H. Boyer et al. (2011)
• The Efficiency of the Buy-Write Strategy: Evidence from Australia by Tafadzwa Mugwagwa et al. (2010)

The following is my favorite: You could do some backtests on your own with freely available data (using the VXO as volatility information) and with any spreadsheet - easy and elegant:

• How Students Can Backtest Madoff’s Claims by Michael J. Stutzer (2009)
• Loosening Your Collar: Alternative Implementations of QQQ Collars by Edward Szado et al. (2009)
• A Study of Optimal Stock & Options Strategies by Mihir Dash et al. (2008)
• Is There Money to Be Made Investing in Options? A Historical Perspective by James S. Doran et al. (2008)

EDIT:
I will update this answer from time to time when new interesting papers arive:

• 15 Years of the Russell 2000 Buy-Write by N. Kapadia and E. Szado (2011)

EDIT 2:
I just published a blog post where I replicate the abovementioned paper by Stutzer (2009):

• Backtesting Options Strategies with R

In the post, I provide the fully documented R code for your own experiments. For details please consult the post.

Answer 2

Since I, too, have been very interested in this question, I will share some of my findings in the dual hope of encouraging comments on the papers and eliciting more activity on this question.

• Ammann, Skovmand, and Verhofen (2008): Implied and Realized Volatility in the Cross-Section of Equity Options
• Ang, Bali, and Cakici (2010): The Joint Cross Section of Stocks and Options
• Bali and Murray (2011): Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio
• Cao and Han (2011): Cross-Section of Option Returns and Stock Volatility
• Constantinides, Jackwerth, and Savov (2011): The Puzzle of Index Option Returns
• Deng (2008): Volatility Dispersion Trading
• Driessen, Lin, and Hemert (2011): How the 52-Week High and Low Affect Option-Implied Volatilities and Stock Return Moments
• Jones and Shemesh (2010): The Weekend Effect in Equity Option Returns

Answer 3

Option Traders Use (very) Sophisticated Heuristics, Never the Black–Scholes–Merton Formula

Stock Price Clustering on Option Expiration Dates

Option Returns and Volatility Mispricing