I am looking for all kinds of research concerning option trading strategies. With that I mean papers that publish results on different option trading strategies properly backtested with real-world data.
Answer
I did some digging and found the following papers - most of them offering quite a distinct perspective compared to classical option pricing theory!
The following is my favorite: You could do some backtests on your own with freely available data (using the VXO as volatility information) and with any spreadsheet - easy and elegant:
EDIT:
I will update this answer from time to time when new interesting papers arive:
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