Quantocracy’s Daily Wrap for 11/25/2015

Momentum has received a lot of attention in the asset-pricing literature over the past several decades, and for good reason. Trending behavior is a staple in markets. In contrast with other pricing anomalies, short-term return persistencepositive and negativeis a robust factor across asset classes. The fact that momentum is deployed far and wide in the money management industry and

This is the first article in a series where we will look at the backtest results of selling at-the-money (ATM) options straddles on the Russell 2000 index (RUT). In the prior series, we looked at the performance of this same strategy on the SPX. For background on the setup for the backtests, as well as the nomenclature used in the tables below, please see the introductory article for this series: