Roni Israelov

AQR Capital Management, LLC

Principal | Head of Volatility Strategies

Two Greenwich Plaza, 3rd Floor

Greenwich, CT 06830

United States

http://www.aqrcapital.com

SCHOLARLY PAPERS

16

DOWNLOADS
Rank 2,252

SSRN RANKINGS

Top 2,252

in Total Papers Downloads

14,956

SSRN CITATIONS
Rank 34,526

SSRN RANKINGS

Top 34,526

in Total Papers Citations

7

CROSSREF CITATIONS

10

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
AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 2,692 (4,407)
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
AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 2,082 (6,801)
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
AQR Capital Management, LLC
Downloads 1,722 (9,392)

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
AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 1,498 (11,737)
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.
Downloads 1,177 ( 17,098)
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
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 1,177 (16,764)
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
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
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Abstract:

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

6.

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
AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 1,132 (18,138)

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

7.

Forecasting the Distribution of Option Returns

Number of pages: 66 Posted: 13 Sep 2017
Roni Israelov and Bryan T. Kelly
AQR Capital Management, LLC and Yale SOM
Downloads 1,127 (18,257)
Citation 4

Abstract:

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8.

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
AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 971 (22,760)
Citation 2

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

9.

Pathetic Protection: The Elusive Benefits of Protective Puts

Number of pages: 41 Posted: 23 Mar 2017
Roni Israelov
AQR Capital Management, LLC
Downloads 840 (28,010)

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

10.

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, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 716 (34,896)

Abstract:

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

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
AQR Capital Management, LLC
Downloads 536 (51,089)

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
AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 422 (68,926)

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
AQR Capital Management, LLC and University of Kentucky - Department of Economics
Downloads 41 (423,383)

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
AQR Capital Management, LLC 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
AQR Capital Management, LLC 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
AQR Capital Management, LLC 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, AQR Capital Management, LLC 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, AQR Capital Management, LLC and AQR Capital Management, LLC

Abstract:

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Diversification, International Diversification, Global Diversification, Home Bias