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LUND UNIVERSITY LIBRARIES

Risk Premium around Macroeconomic Announcements: Evidence from Delta-Neutral Straddles

Windmar, Carl LU (2025) NEKP01 20251
Department of Economics
Abstract (Swedish)
This paper analysed the returns on delta-neutral straddles around macroeconomic
announcements. The results for straddles on all macroeconomic events were negative returns
across all weighting methods and across the majority of holding periods. Furthermore, the
returns for individual macroeconomic data announcements were negative, except for money
supply and employment data which showed inconclusive results. Therefore, there is no
evidence of consistent underestimation of risk that can be exploited. The empirical results
confirm the theory behind straddle returns.
Please use this url to cite or link to this publication:
author
Windmar, Carl LU
supervisor
organization
course
NEKP01 20251
year
type
H2 - Master's Degree (Two Years)
subject
keywords
Delta-neutral straddles, Macroeconomic announcements, Risk premium, Options
language
English
id
9197108
date added to LUP
2025-09-12 11:18:17
date last changed
2025-09-12 11:18:17
@misc{9197108,
  abstract     = {{This paper analysed the returns on delta-neutral straddles around macroeconomic
announcements. The results for straddles on all macroeconomic events were negative returns
across all weighting methods and across the majority of holding periods. Furthermore, the
returns for individual macroeconomic data announcements were negative, except for money
supply and employment data which showed inconclusive results. Therefore, there is no
evidence of consistent underestimation of risk that can be exploited. The empirical results
confirm the theory behind straddle returns.}},
  author       = {{Windmar, Carl}},
  language     = {{eng}},
  note         = {{Student Paper}},
  title        = {{Risk Premium around Macroeconomic Announcements: Evidence from Delta-Neutral Straddles}},
  year         = {{2025}},
}