New Evidence on the Performance of Customer Options Trades

Abstract Recent research claims that retail options traders experience losses on average. Notably, Bryzgalova, Pavlova and Sikorskaya (2023) (BPS) claim trades executed in single-leg improvement mechanisms (SLIMs), their proxy for retail trades, suffer losses. The BPS performance estimates are sensitive to their estimates of trade direction and use of quotes prior to expiration, rather than […] Source