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N. Käfer, M. Moerke, and T. Wiest: “Option Factor Momentum”

April 13, 2023

We document profitable cross-sectional and time-series momentum in a broad set of 56 option factors constructed from monthly sorts on daily delta-hedged option positions. Option factor returns are highly autocorrelated, but momentum profits of strategies with longer formation periods are mainly driven by high mean returns that persistently differ across factors. Momentum effects are the strongest in the factors’ largest principal components, consistent with findings for stock factor momentum.

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