Momentum-Strategies-on-Options

This project is finished in a group of 6 graduate students in MFE department, NYU Tandon.

It sets out to investigate the effectiveness of capturing momentum effect with options while minimizing market risk. By introducing adjustable scaling factors, the underleveraged option portfolios can utilize momentum effect and simultaneously to maintain a lower risk than directly investing in index. In this process, additional information from the option Greeks is exploited to balance the return and risk.

We fine-tuned the strategy by:

1. set timing to quit by monitoring drawdowns continuously
2. open a long position in SPY index to hedge against options
3. employed mean-variance framework to decide on optimal weights in the portfolio