Empirical Returns of Leveraged ETF Options
Published in
4 min readApr 18, 2023
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…