https://dev.bcld.info/works/1ad8fdc7-12a5-40d8-b073-81e7a29b5c97
type: Monograph
type: Text
type: Work
aap: Are options on index futures profitable for risk averse investors? empirical evidence
admin metadata: AdminMetadata
  cataloger id: Unknown
  date: 2026-07-07
  description authentication: pcc
  description language: eng
  description level: bibframe-2-6-0
admin metadata: AdminMetadata
  agent: bcld
  date: 2026-07-07T22:44:04.082815+00:00
  derived from: http://id.loc.gov/resources/works/16481136
  status: http://id.loc.gov/vocabulary/mstatus/c
classification: ClassificationLcc
  assigner: dlc
  classification portion: HB1
  status: uba
content: http://id.loc.gov/vocabulary/contentTypes/txt
contribution: Contribution
  agent: n86870732
  role: ctb
contribution: Contribution
  agent: n79139286
  role: ctb
language: eng
relation: Relation
  associated resource: Series
    status: http://id.loc.gov/vocabulary/mstatus/t
    status: tr
    title: Title
      main title: NBER working paper series
  relationship: series
  series enumeration: working paper 16302
relation: Relation
  relationship: series
  series enumeration: working paper no. 16302.
summary: Summary
  label: "American options on the S&P 500 index futures that violate the stochastic dominance bounds of Constantinides and Perrakis (2007) from 1983 to 2006 are identified as potentially profitable trades. Call bid prices more frequently violate their upper bound than put bid prices do, while violations of the lower bounds by ask prices are infrequent. In out of sample tests of stochastic dominance, the writing of options that violate the upper bound increases the expected utility of any risk averse investor holding the market and cash, net of transaction costs and bid ask spreads. The results are economically significant and robust"--National Bureau of Economic Research web site.
supplementary content: bibliography
title: Title
  main title: Are options on index futures profitable for risk averse investors? empirical evidence