We study whether prices of traded options contain information about future extreme market events. Our option … probability of the market crashes, beyond and above other option-implied variables. Stock-specific tail loss measure predicts …

. We simulate liquidity option prices for a panel of NYSE stocks spanning 2000 to 2020 by fitting a stochastic process to …

time-series of index and VIX option returns, beyond volatility risk itself. Volatility and volatility …-of-volatility measures, identified modelfree from the option price data as the VIX and VVIX indices, respectively, are only weakly related to … each other. Delta-hedged index and VIX option returns are negative on average, and are more negative for strategies which …

We study whether prices of traded options contain information about future extreme market events. Our option … probability of the market crashes, beyond and above other option-implied variables. Stock-specific tail loss measure predicts …

time-series of index and VIX option returns, beyond volatility risk itself. Volatility and volatility …-of-volatility measures, identified model-free from the option price data as the VIX and VVIX indices, respectively, are only weakly related … to each other. Delta-hedged index and VIX option returns are negative on average, and are more negative for strategies …

This paper extends the classic factor-based asset pricing model by including network linkages in linear factor models …