This article investigates the predictive power of popular market‐based sentiment measures for subsequent returns on the Standard & Poor’s (S&P) 500 futures contract over 10‐day, 20‐day, and 30‐day horizons from January 1989 through June 1999. These measures include the volatility...

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. Short‐term option...

This article finds that deviations of the soybean crush spread from its long‐run equilibrium were transitory during the sample period from January 1985 through February 1995. This equilibrium is characterized by strong seasonality and by a persistent uptrend in soymeal and soyoil prices...

This article finds that the implied volatilities of corn, soybean, and wheat futures options 4 weeks before option expiration have significant predictive power for the underlying futures contract return volatilities through option expiration from January 1988 through September 1999. These...

This study shows that unconditional QQQ option selling strategies from January 2001 through November 2004 are generally significantly profitable after transactions costs. However, when straddle and strangle sales are combined with purchases of out of the money puts, few of the strategies are...