Find Cheap Options for Effective Crash Protection Using Crash Regressions

One way we can quantify a stock’s movement relative to the market index is by calculating its “beta” to the market. To calculate the beta of MSFT to SPY (for example) we: calculate daily MSFT returns and daily SPY returns align the returns with one another regress MSFT returns against SPY returns. This shows the … Continue reading Find Cheap Options for Effective Crash Protection Using Crash Regressions