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Quantitative Finance · Glossaire

Qu'est-ce que « Option overwriting » ?

Definition 1.2 Strategies II: Volatility, Relative Value, Macro and the Bank Desks · Chapitre 1 — Harvesting the Variance Risk Premium

Option overwriting sells options against a position already held, most often calls against a long equity position (covered calls), collecting premium in exchange for giving up gains beyond the strike; it is a short-volatility strategy with the market’s direction added.

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