  This research presents a comprehensive evaluation of systematic index
option-writing strategies, focusing on S&P500 index options. We compare the
performance of hedging strategies using the Black-Scholes-Merton (BSM) model
and the Variance-Gamma (VG) model, emphasizing varying moneyness levels and
different sizing methods based on delta and the VIX Index. The study employs
1-minute data of S&P500 index options and index quotes spanning from 2018 to
2023. The analysis benchmarks hedged strategies against buy-and-hold and naked
option-writing strategies, with a focus on risk-adjusted performance metrics
including transaction costs. Portfolio delta approximations are derived using
implied volatility for the BSM model and market-calibrated parameters for the
VG model. Key findings reveal that systematic option-writing strategies can
potentially yield superior returns compared to buy-and-hold benchmarks. The BSM
model generally provided better hedging outcomes than the VG model, although
the VG model showed profitability in certain naked strategies as a tool for
position sizing. In terms of rehedging frequency, we found that intraday
hedging in 130-minute intervals provided both reliable protection against
adverse market movements and a satisfactory returns profile.
