Empirical Returns of Leveraged ETF Options

Tim Leung, Ph.D.
Quantitative Investing
4 min readApr 18, 2023

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The popularity of ETFs has led to increased trading of options written on ETFs and leveraged ETFs (LETFs).

Traded options have different strikes and expiration dates. For each expiration date, we can compare returns of LETF calls and puts with different strikes and leverage ratios.

Option prices can be considered as a function of moneyness, which is defined by the…

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Tim Leung, Ph.D.
Quantitative Investing

Boeing Endowed Chair Professor of Applied Math, Director of the Computational Finance & Risk Management (CFRM) Program at University of Washington in Seattle