This paper investigates the performance of option investments across different stocks by computing monthly returns on at-the-money straddles on individual equities. We find that options with high historical returns continue to significantly outperform options with low historical returns over horizons ranging from 6 to 36 months. This phenomenon is robust to including out-of-the-money options or delta-hedging the returns. Unlike stock momentum, option return continuation is not followed by long-run reversal. Significant returns remain after factor risk adjustment and after controlling for implied volatility and other characteristics. Across stocks, trading costs are unrelated to the magnitude of momentum profits.

中文翻译：

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期权动量

本文通过计算个股平价跨式期权的月回报来研究不同股票的期权投资表现。我们发现，在 6 至 36 个月的期限内，具有高历史回报的期权继续显着优于具有低历史回报的期权。这种现象对于包含价外期权或 Delta 对冲收益非常有效。与股票动量不同，期权回报持续后不会出现长期逆转。经过因子风险调整以及控制隐含波动率和其他特征后，仍能获得可观的回报。在股票中，交易成本与动量利润的大小无关。