ABSTRACT
This chapter tries to investigate which kind of strategy is prevailing on the Italian stock exchange as far as the stock index option market is concerned. Given the possibility of using the option for both directional strategies and volatility strategies, the main answer we are looking for concerns firstly the existence of a prevailing behavior on the market and secondly, given a positive answer to the first question, which one is the most popular. The analysis is performed by a graphical analysis and by using an official data set of the clearing house of the Italian stock exchange from December 2007 to May 2008. With respect to the previous literature, our study is aimed at verifying which strategy prevails in the Italian market, since there is a fundamental connection between the exploitation of volatility strategies and the complexity of the reference financial markets. The main finding, at least with reference to the period under observation, confirms the prevalence of directional strategies and of a certain mixture of volatility and directional strategies. Very rarely we found evidence of strong exploitation of volatility trading.
