The Puzzle of Index Option Returns

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Subfields: Finance

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Conditional Risk Premia in Currency Markets and Other Asset Classes (2014, unknown): “…all option portfolios are accurately priced with small pricing errors with the exception of the 30-day maturity and 90% moneyness put portfolio.22 Constantinides, Jackwerth, and Savov (2013) report that this portfolio is hard to price even for most option market-tailored asset pricing models and…”
Intermediary Asset Pricing: New Evidence from Many Asset Classes (2017, methodology): “According to Constantinides et al. (2013) , “The major advantage of this construction is to lower the variance and skewness of the monthly portfolio returns and render the returns close to normal (about as close to normal as the index return), thereby making applicable the standard linear factor pri”
Volatility‐Managed Portfolios (2017, methodology): “Specifically we use the option portfolios from Constantinides et al. (2013). We focus on in-the-money call”