Abstract
This paper investigates generalized covered call strategies. At first, we target on at the money covered call strategy and observe it from both equity and volatility degrees. Different from other related papers about covered call, we focus on its risk rather than return. We get the generalized equation to segment covered call into long equity and short volatility parts, and use empirical data to discuss various kinds of covered call by both its risk and risk premium. Besides, it’s not corresponding to the reality by using a fixed implied volatility, we also consider the difference between the implied volatility and the realized volatility and get the implied volatility by backward calculated, comparing with the realized volatility during the same period, and finally acquire the size of volatility effect. Finally, observing and analyzing covered call strategies under different conditions.