
Garrett DeSimone, Head of Quantitative Research at OptionMetrics
Alpha Exchange
Impact of Macro Events on Options Trading and Pricing Strategies
The chapter explores the effects of macro events like CPI releases and FOMC days on options trading, discussing how overpricing of event risk premium can lead to significant losses for straddle holders. It also covers the profitability of long volatility positions during earnings reports and the challenges of accurately pricing options, emphasizing the importance of clean inputs and developing reliable databases. The chapter delves into the evolving nature of option markets, examining the risks associated with new products like zero DTE options and the potential risks linked to ETF providers moving towards zero-duration ETFs.
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