In a recent Market Measures, the Research Team explored the pros and cons of buying calls over the long-term. Today, we are going to test the same strategies from a portfolio perspective. We are going to find out why they don’t work well by analyzing the volatility.

The results suggest that it is difficult to construct a healthy long call portfolio over the long-term. It is even harder to manage it. A simple short put portfolio not only produced greater return on capital, but also lower volatility.