News

Three WorldQuant University graduates from three continents have published a paper on SSRN examining a practical options trading approach.

Kefeng Tang, Akshat Agrawal, and Tabuya Machona completed the study as their Master of Science in Financial Engineering capstone project and graduated from the program in 2024. Kefeng and Tabuya also completed WorldQuant University’s Data Science Lab.

The research highlights the global nature of collaboration at WorldQuant University. Kefeng is from the United States, Tabuya is from Botswana, and Akshat is from India. With students from more than 150 countries, group projects at the university frequently require cross-cultural teamwork that brings together diverse perspectives and experiences.

The paper, “Call Calendar Spread on Overnight Option Strategy,” explores a method that sells a short-term call option while buying a longer-term call option on the same underlying asset. The aim is to capture income from the faster value decline of the near-term option while using the longer-term position as protection against unexpected overnight price swings.

The researchers focused on options linked to SPY, an exchange-traded fund that tracks the S&P 500. They analyzed four years of historical data covering 2021 through 2024, a period that included strong market rebounds, inflation-driven downturns, partial recoveries, and ongoing uncertainty. By testing the approach under these varied conditions, they evaluated how different choices—such as selecting options closer to or farther from the current market price for the longer-term position—affected results.

The paper contributes a systematic look at a less-examined overnight version of a calendar spread strategy and offers practical observations for traders interested in time-based approaches.

As a capstone project completed by graduates of the Master of Science in Financial Engineering program, the research reflects the applied, collaborative focus of WorldQuant University.

Read more:
Tang, Kefeng and Agrawal, Akshat and Tachona, Tabuya, Call Calendar Spread on Overnight Option Strategy (March 11, 2025). Available at SSRN.