Using prices of both S&P 500 options and recently introduced VIX options, we study asset pricing implications of …

cross section of the VIX options, which we call the VVIX index. The tail risk measured by the VVIX index has forecasting …

. This approach shows that VIX derivatives carry different information about future variance than S&P 500 (SPX) options … variance discovery process than SPX options. These findings imply that VIX derivatives would offer a better estimate of … expected variance than SPX options, and that a measure of segmentation may be useful for policymakers as it signals the …

We derive an option-pricing formula from recursive preference and estimate rare disaster probability. The new options …-pricing formula applies to far-out-of-the money put options on the stock market when disaster risk dominates, the size distribution of … options data on the S&P 500 index from 1983-2018 and for analogous indices for other countries. The disaster probability …