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The soybean crush spread : empirical evidence and trading strategies

Simon, David P. - In: The journal of futures markets 19 (1999) 3, pp. 271-289

Persistent link: https://www.econbiz.de/10001377831

Implied volatility asymmetries in treasury bond futures options

Simon, David P. - In: The journal of futures markets 17 (1997) 8, pp. 873-885

Persistent link: https://www.econbiz.de/10001232840

S&P futures returns and contrary sentiment indicators

Simon, David P.; Wiggins, Roy A. - In: The journal of futures markets 21 (2001) 5, pp. 447-462

Persistent link: https://www.econbiz.de/10001603195

Implied volatility forecasts in the grains complex

Simon, David P. - In: The journal of futures markets 22 (2002) 10, pp. 959-981

Persistent link: https://www.econbiz.de/10001696759

Examination of long-term Bond iShare option selling strategies

Simon, David P. - In: The journal of futures markets 30 (2010) 5, pp. 465-489

This article examines volatility trades in Lehman Brothers 20 Year US Treasury Index iShare (TLT) options from July 2003 through May 2007. Unconditionally selling front contract strangles and straddles and holding for one month is highly profitable after transactions costs.

Persistent link: https://www.econbiz.de/10003962639

Trading the VIX futures roll and volatility premiums with VIX options

Simon, David P. - In: The journal of futures markets 37 (2017) 2, pp. 184-208

Persistent link: https://www.econbiz.de/10011669795