Käfer, Niclas; Moerke, Mathis; Wiest, Tobias - 2023
We document profitable cross-sectional and time-series momentum in a broad set of 56 option factors constructed from … monthly sorts on daily delta-hedged option positions. Option factor returns are highly autocorrelated, but momentum profits of …. Finally, we find a new form of momentum in options markets: momentum in single delta-hedged option returns. Option factor …