Performance Measurement for Covered Call Option Strategies

Writing covered call option strategies is a popular investment strategy designed to augment portfolio return through receipt of premium income, and written in the expectation that physical prices will not rise sharply. However, there seems to be little industry consensus on how to account and present performance analysis for options bought or sold as part of a broader option trading strategy, and this paper addresses that in the case of covered calls by proposing three alternate approaches.

Performance Measurement for Covered Call Option Strategies