The purpose of this project is to explore different types of investment strategies that involve selling and trading covered calls. The project consists of collecting historical data of SPDR S&P 500 ETF Trust (SPY) from May of 1995 to May of 2021 from Bloomberg Terminal, applied different trading strategies involving call options, and coded with computer programming language R. The results of each strategy were analyzed and compared against the traditional buy and hold method.

• This report represents the work of one or more WPI undergraduate students submitted to the faculty as evidence of completion of a degree requirement. WPI routinely publishes these reports on its website without editorial or peer review.

Creator

• Zheng, Wenrui
• Hubbard, Lauryn
• Cohen, Jane

Publisher

• Worcester Polytechnic Institute

Identifier

• 43596
• E-project-121621-123949

Advisor

• Posterro, Barry John
• Abraham, Jon P.

Year

• 2021

Date created

• 2021-12-16

Resource type

• Major Qualifying Project

Major

• Actuarial Mathematics

Rights statement

• In Copyright