Returns and risks of trading strategies with options

Abstract

The following thesis provides an introduction to futures and options derivative instruments, describing use, payoffs and, in the case of options, pricing techniques. The second chapter focuses on the different trading strategies, how they are implemented, their payoff and their applicability in real life. Subsequently we will discuss some synthetic indices that replicate the strategies illustrated and help institutional investors to monitor the performance of the strategies themselves. At the end we will analyze the risks and returns of these synthetic indices compared to traditional, American and European, indices.