Financial Innovation

Table 2 Return characteristics of option with one-month hold to maturity

From: Intelligent option portfolio model with perspective of shadow price and risk-free profit

Conf Int		99%	95%			90%
Option	Mean	LB	UB		LB	UB	LB	UB
50ETF option	− 0.0021	− 0.0090	0.0048		− 0.0073	0.0032	− 0.0065	0.0023
300ETF option	− 0.0100	− 0.0283	0.0083		− 0.0239	0.0039	− 0.0217	0.0016

This table displays confidence intervals for the time series of realized option returns with the confidence interval in 99%, 95%, and 90%

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