Options portfolios: short straddle strategy

Abstract

[eng] Before investing in the financial world, it is important to have a thorough understanding of all that this entails, as it is a complicated practice with a high risk involved. So, based on the daily quotes of the Ibex35 for the years 2013 to 2020, their daily returns and volatilities have been calculated. Then, some conditions and parameters have also been established to know the days in which it is more convenient to open a position with the short straddle strategy, selling a put option and an equal call option that comply with the established requirements. Finally, the results obtained have been analyzed, as well as a series of alternative scenarios, for the observation of market behaviour and the search for a pattern to obtain profits or, even if this is not possible, to understand them.