Momentum, Market Regime and Stocks & Options Trading Strategies

19 Pages Posted: 10 Jan 2019 Last revised: 2 Apr 2021

See all articles by Oluwaseyi (Tony) Awoga CPA, PRM

Oluwaseyi (Tony) Awoga CPA, PRM

Independent; University of Pennsylvania - School of Engineering & Applied Science; Bowling Green State University; Financial Engineering (MScFE) - December 2018; Certified Public Accountant (CPA) ; Professional Risk Manager (PRM); Certified Management Accountant (CMA) - Inactive; Certified SAS Base Programmer; Olabisi Onabanjo University; Yaba College of Technology

Ritabrata Bhattacharyya

WorldQuant University

Date Written: December 25, 2018


This research project seeks to examine the relationship between momentum, stocks and options trading strategies. First, we examine a simple momentum trading strategy for stocks. These discussions are then extended and applied to options trading. Further, we explore how changes in economic conditions can cause trading performances to change from long-term averages and techniques that can be used to mitigate the impact of volatility and regime-shifts on trading performance.

Keywords: Momentum, Trading Strategies, Trend-Following, Options, Regime-Shift, Black-Scholes, VIX Index, Hidden Markov Model, Average True Range, Moving Averages, Straddle, Dynamic Hedging

Suggested Citation

Awoga, Oluwaseyi and Bhattacharyya, Ritabrata, Momentum, Market Regime and Stocks & Options Trading Strategies (December 25, 2018). Available at SSRN: or

University of Pennsylvania - School of Engineering & Applied Science ( email )

220 S 33rd St
Philadelphia, PA 19104
United States

Bowling Green State University ( email )

Bowling Green, OH 43403
United States

Financial Engineering (MScFE) - December 2018 ( email )

201 St Charles Ave #2500
New Orleaans, LA
United States

Certified Public Accountant (CPA) ( email )

Richmond, VA
United States

Professional Risk Manager (PRM) ( email )

2711 Centerville Road, Suite 120
PMB #5527
Wilmington, DE 19808
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Certified Management Accountant (CMA) - Inactive ( email )

10 Paragon Drive
Montvale, NJ 07645-1760
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Certified SAS Base Programmer ( email )

100 SAS Campus Drive
Cary, NC 27513-2414
United States

Olabisi Onabanjo University ( email )

Olabisi Onabanjo University,

Yaba College of Technology ( email )

Lagos Mainland
Yaba, Lagos Mainland 23401

Ritabrata Bhattacharyya

WorldQuant University ( email )

Place St Charles
201 St Charles Ave #2500
New Orleans, LA 70170
United States

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