Monte Carlo simulation comparing Fixed Strike vs Rolling ATM covered call strategies. 1M simulated paths, Black-Scholes pricing, vectorized NumPy, PDF report generation.
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Updated
Mar 5, 2026 - Python
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covered-call
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Le « revenu » des calls vendus, démonté : BXM reconstruit par Black-Scholes + VIX (corr 0,981, +630 pb/an = le prix du skew que le VIX ne voit pas), prime de variance positive 84 % des mois depuis 1990 (t 3,3), et ZEB qui bat ZWB de 2,75 pt/an pour un pire creux identique. Données Cboe/FRED/Yahoo libres, 8 tests fermés.
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Updated
Aug 30, 2026 - Python
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