We construct portfolios of Samp;P500 futures and their associated options, which are long out of (in) the money puts and short out of (in) the money calls, and which are delta (price) and vega (volatility) neutral, with respect to a GARCH type model for the underlying price. These systematically...

In the Samp;P500 futures options, we identify 3 factors, corresponding to movements in the underlying, parallel movements, and tilting of the cross section of implied volatilities (the quot;smirk factor''). We relate these factors non-linearly to movements in the option prices. They are...

We construct portfolios of Samp;P500 futures and their associated options, which are Delta (price) and Vega (volatility) neutral. These systematically earn negative abnormal returns, and suggest that out of the money puts are too expensive, relative to out of the money calls. We give evidence...