Roni Israelov

NDVR, Inc.

24 Federal Street

Boston, MA 02110

United States

http://ndvr.com

SCHOLARLY PAPERS

16

DOWNLOADS
Rank 2,097

SSRN RANKINGS

Top 2,097

in Total Papers Downloads

16,084

SSRN CITATIONS
Rank 33,575

SSRN RANKINGS

Top 33,575

in Total Papers Citations

8

CROSSREF CITATIONS

11

Scholarly Papers (16)

1.

Covered Calls Uncovered

Financial Analysts Journal, Vol. 71, No. 6, November/December 2015
Number of pages: 24 Posted: 04 Jun 2014 Last Revised: 27 Jan 2017
Roni Israelov and Lars N Nielsen
NDVR, Inc. and AQR Capital Management, LLC
Downloads 2,733 (4,507)
Citation 3

Abstract:

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Covered Call, Covered Calls, Call Overwriting, Overwriting, Options, Volatility Risk Premium, Variance Risk Premium, BuyWrite, Buy-Write, PutWrite, Put-Write

2.

Which Index Options Should You Sell?

Number of pages: 35 Posted: 28 Jun 2017 Last Revised: 01 Jul 2017
Roni Israelov and Harsha Tummala
NDVR, Inc. and AQR Capital Management, LLC
Downloads 2,290 (6,050)
Citation 1

Abstract:

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Options, Volatility Risk Premium, Variance Risk Premium, Covered Call, Covered Calls, Call Overwriting, Overwriting, BuyWrite, Buy-Write, PutWrite, Put-Write, Variance Swap, Variance Swaps, Option Selection, Option Portfolio Construction, Option Selling, Volatility Selling, Short Volatility

3.

Give Credit Where Credit is Due: What Explains Corporate Bond Returns?

Number of pages: 54 Posted: 24 Apr 2019 Last Revised: 10 Jun 2019
Roni Israelov
NDVR, Inc.
Downloads 1,828 (8,851)

Abstract:

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Corporate Bonds, Credit, Credit Spreads, Credit Risk, Options, Investment Grade, High Yield, Credit Puzzle, Volatility Risk Premium, Variance Risk Premium, PutWrite, Put-Write, Covered Calls, Covered Call, BuyWrite, Buy-Write, CDS, Implied Volatility, VIX

4.

Covered Call Strategies: One Fact and Eight Myths

Financial Analysts Journal, Vol. 70, No. 6, 2014
Number of pages: 17 Posted: 04 Jun 2014 Last Revised: 27 Jan 2017
Roni Israelov and Lars N Nielsen
NDVR, Inc. and AQR Capital Management, LLC
Downloads 1,531 (11,759)
Citation 3

Abstract:

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Covered Call, Covered Calls, Call Overwriting, Overwriting, Options, Volatility Risk Premium, Variance Risk Premium, BuyWrite, Buy-Write, PutWrite, Put-Write

5.

Being Right is Not Enough: Buying Options to Bet on Higher Realized Volatility

Number of pages: 24 Posted: 26 Sep 2018 Last Revised: 17 Oct 2018
Roni Israelov and Harsha Tummala
NDVR, Inc. and AQR Capital Management, LLC
Downloads 1,322 (14,874)

Abstract:

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Options, Protection, Portfolio Protection, Tail Protection, Tail Risk, Volatility Risk Premium, Variance Risk Premium, PutWrite, Put-Write, BuyWrite, Buy-Write, Covered Call, Covered Calls, Call Overwriting, Overwriting

6.

Forecasting the Distribution of Option Returns

Number of pages: 66 Posted: 13 Sep 2017
Roni Israelov and Bryan T. Kelly
NDVR, Inc. and Yale SOM
Downloads 1,229 (16,631)
Citation 5

Abstract:

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7.
Downloads 1,191 ( 17,429)
Citation 1

Covering the World: Global Evidence on Covered Calls

Number of pages: 24 Posted: 28 Jun 2017 Last Revised: 21 Jul 2017
Roni Israelov, Matthew Klein and Harsha Tummala
NDVR, Inc., AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 1,191 (17,097)
Citation 1

Abstract:

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Covered Call, Covered Calls, Call Overwriting, Overwriting, Options, Volatility Risk Premium, Variance Risk Premium, BuyWrite, Buy-Write, PutWrite, Put-Write

Covering the World: Global Evidence on Covered Calls

Journal of Risk, Forthcoming
Number of pages: 29 Posted: 21 Sep 2018
Roni Israelov, Matthew Klein and Harsha Tummala
NDVR, Inc., AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 0
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Abstract:

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covered call, call overwriting, options, volatility risk premium, BuyWrite, PutWrite

8.

Risk Parity is Not Short Volatility (Not That There's Anything Wrong with Short Volatility)

Number of pages: 55 Posted: 16 Aug 2019
Benjamin Hood, John Huss, Roni Israelov and Matthew Klein
Parametric Portfolio Associates, LLC, AQR Capital Management, LLC, NDVR, Inc. and AQR Capital Management, LLC
Downloads 1,036 (21,359)

Abstract:

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Risk Parity; Volatility Control; Volatility; Short Volatility; Volatility Risk Premium; Variance Risk Premium; Options; Hedging

9.

Still Not Cheap: Portfolio Protection in Calm Markets

Number of pages: 25 Posted: 17 Mar 2015 Last Revised: 27 Jan 2017
Roni Israelov and Lars N Nielsen
NDVR, Inc. and AQR Capital Management, LLC
Downloads 989 (22,921)
Citation 3

Abstract:

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Options, Protection, Portfolio Protection, Tail Protection, Tail Risk, Volatility Risk Premium, Variance Risk Premium, PutWrite, Put-Write, BuyWrite, Buy-Write, Covered Call, Covered Calls, Call Overwriting, Overwriting

10.

Pathetic Protection: The Elusive Benefits of Protective Puts

Number of pages: 41 Posted: 23 Mar 2017
Roni Israelov
NDVR, Inc.
Downloads 870 (27,577)
Citation 1

Abstract:

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Option, Options, Put Option, Protective Put, Put Protection, Protection, Portfolio Protection, Volatility Risk Premium, Variance Risk Premium, Insurance, Insurance Risk Premium, Tail Risk, Tail Protection, Crash Risk

11.

PutWrite versus BuyWrite: Yes, Put-Call Parity Holds Here Too

Number of pages: 9 Posted: 09 Jan 2017 Last Revised: 13 Feb 2017
Roni Israelov
NDVR, Inc.
Downloads 577 (48,198)

Abstract:

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Covered Call, Covered Calls, Call Overwriting, Overwriting, Options, Volatility Risk Premium, Variance Risk Premium, BuyWrite, Buy-Write, PutWrite, Put-Write

12.

An Alternative Option to Portfolio Rebalancing

Number of pages: 34 Posted: 01 Nov 2017
Roni Israelov and Harsha Tummala
NDVR, Inc. and AQR Capital Management, LLC
Downloads 444 (66,771)

Abstract:

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options, rebalancing, rebalanced portfolio, volatility risk premium, variance risk premium

13.

Combining Empirical Likelihood and Generalized Method of Moments Estimators: Asymptotics and Higher Order Bias

Number of pages: 15 Posted: 19 Jun 2014
Roni Israelov and Steven Lugauer
NDVR, Inc. and University of Kentucky - Department of Economics
Downloads 44 (424,184)

Abstract:

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Generalized Method of Moments, Empirical Likelihood

14.

Risk and Return of Equity Index Collar Strategies

Posted: 18 Dec 2015 Last Revised: 27 Jan 2017
Roni Israelov and Matthew Klein
NDVR, Inc. and AQR Capital Management, LLC

Abstract:

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Collar, Collars, Index Collar, Index Collars, Covered Call, Covered Calls, Call Overwriting, Overwriting, Options, Volatility Risk Premium, Variance Risk Premium, BuyWrite, Buy-Write, PutWrite, Put-Write

To Trade or Not to Trade? Informed Trading with Short-Term Signals for Long-Term Investors

Financial Analysts Journal, Vol. 67, No. 5, 2011
Posted: 30 Sep 2011
Roni Israelov and Michael Katz
NDVR, Inc. and AQR Capital Management, LLC

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Portfolio Management, Portfolio Construction and Revision, Portfolio Monitoring and Rebalancing, Equity Investments

To Trade or Not to Trade? Informed Trading with Short-Term Signals for Long-Term Investors

Posted: 08 Apr 2010 Last Revised: 27 Jan 2017
Roni Israelov and Michael Katz
NDVR, Inc. and AQR Capital Management, LLC

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High Frequency, Short-Term, Long-Term, Trading, Trading Costs, Transaction Costs, Turnover, Liquidity, Informed Trading, Optimal Portfolio, Portfolio Choice, Rebalance

International Diversification Works (Eventually)

Financial Analysts Journal, Vol. 67, No. 3, 2011
Posted: 11 Jun 2011
Clifford S. Asness, Roni Israelov and John M. Liew
AQR Capital Management, LLC, NDVR, Inc. and AQR Capital Management, LLC

Abstract:

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equity investments, equity market valuation, return analysis, international equity investing, portfolio management, portfolio construction and revision, diversification issues

International Diversification Works (Eventually)

Posted: 05 Mar 2010 Last Revised: 27 Jan 2017
Clifford S. Asness, Roni Israelov and John M. Liew
AQR Capital Management, LLC, NDVR, Inc. and AQR Capital Management, LLC

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Diversification, International Diversification, Global Diversification, Home Bias