-ante measures of volatility, skewness, and kurtosis implied from stock option prices are positively related to the cross section of … volatility, only the unsystematic components of skewness and kurtosis are related to the cross section of expected stock returns …

exposure to changes in the price of the underlying stock (delta), and exposure to changes in implied volatility (vega) are …-known market, size, book-to-market, momentum, and short-term reversal factors. Additional volatility, stock, and option market …

exposure to changes in the underlying stock price (delta), and exposure to changes in implied volatility (vega) are removed …-to-market, momentum, short-term reversal, volatility, or option market factors …

find that the volatility, skewness, and kurtosis of both call and put returns are higher (lower) for options that are … further out-of-the-money (in-the-money). The risk-neutral moments of call returns are increasing in the volatility of the …, indicating significant option volatility, skewness, and kurtosis risk premia. The option volatility risk premium is significantly …

This paper investigates the intertemporal relation between volatility spreads and expected returns on the aggregate … stock market. We provide evidence for a significantly negative link between volatility spreads and expected returns at the … extreme values. The intertemporal relation remains strongly negative after controlling for conditional volatility, variance …

includes new factors based on option-implied volatility minus realized volatility, the call minus put implied volatility spread …

factors based on option illiquidity, option price, implied-minus-realized volatility, implied-minus-realized skewness, implied …

ex-ante measures of volatility, skewness, and kurtosis derived from option prices are positively related to ex …