The purpose of this study is to examine the effectiveness of a collar and a covered call option strategy. We employed ANOVA and independent samples t-test to test the stock option portfolio of five companies included in the ISE Diamond/Gemstone ETF (GEMS) during 2010 up to 2013 as an approach of protective investment strategies in the diamond market. We found the collar strategy as the best strategy as it can gain highest returns in comparisons with the covered call strategy with an average risk level.
