Analyzing Contango for Short Options Strategies

Sections

• Introduction
• Data
• Contango Strategy
• Exploratory Data Analysis
  • Short Strangles
• Relationship between Contango and Short Strangles
  • Deciles
  • Portfolios
• Conclusion

Introduction

A member at Predicting Alpha was analyzing the relationship between contango, the upward slope of the term structure, with short strangles, an options structure.

We're going to analyze the relationship between contango and short strangle returns and compare a "contango strategy" with benchmarks.

To have a good understanding of the following topics, you would need to know about options and the volatility surface.

Data

TODO

Contango Strategy

TODO

Exploratory Data Analysis

Short Strangles

Relationship between Contango and Short Strangles

Deciles

Portfolios

Conclusion

TODO