Equity index option writing strategies delivered abnormally high returns in the past. This empirical fact is often attributed to the so-called Path Peso argument, which states that put option prices reflect risk premiums for extreme jumps in prices and volatility, which are underrepresented in empirical data. This paper uses option price data collected during the financial crisis as a natural experiment to to examine whether the empirical evidence of abnormally high index option returns persists in periods with adverse outcomes of jump and volatility risk. To this end, this paper uses S&P 500, DAX, and EURO STOXX 50 option price data to analyze returns of a wide array of index option strategies.

Keywords: Option strategies, index options, performance measurement

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