Aggregate implied volatility spread (IVS), defined as the cross-sectional average difference in the implied …

We evaluate the ability of different asset pricing models to explain the flows into VIX ETPs with long volatility …

implied volatility index level and term structure, we show the important role of the term structure in determining future …

The slope of the implied volatility term structure is positively related to future option returns. We rank firms based … on the slope of the volatility term structure and analyze the returns for straddle portfolios. Straddle portfolios with … high slopes of the volatility term structure outperform straddle portfolios with low slopes by an economically and …

We provide evidence that an option implied volatility-based measure predicts future absolute excess returns of the … return volatility shortly before these information events, and the volatility of excess stock returns around these two events …, and also trade on the expected volatility. In addition, we show that net straddle returns (after transaction costs) around …

This study examines the relation between aggregate volatility risk and the cross-section of stock returns in Australia …. We use a stock's sensitivity to innovations in the ASX200 implied volatility (VIX) as a proxy for aggregate volatility … risk. Consistent with theoretical predictions, aggregate volatility risk is negatively related to the cross-section of …

Equity option markets exhibit intense trading activity. We use the variability of option implied volatility spread as a …. Over the 2006 – 2016 period, we find that the predictive power of option implied volatility spread for future stock returns … is significantly greater when implied volatility spread has been more variable in the past. Our results are statistically …