Equity option markets exhibit intense trading activity. We use the variability of option implied volatility spread as a … proxy for the impounding of new information, and changes in the interpretation of existing information, into option prices …. Over the 2006 – 2016 period, we find that the predictive power of option implied volatility spread for future stock returns …

uncertainty of the underlying. Transferring this intuition to volatility jumps requires that in affine models the variance jump … model-free analysis shows that the local variance-of-variance describes risk-neutral variance jump expectations well across … crises, whereas its long-run stochastic mean remains at lower levels. Second, the vol-of-vol risk-premium increases to 6 …

We study the term structure of variance (total risk), systematic and idiosyncratic risk. Consistent with the …

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 use a series of different approaches to extract information about crash risk from option prices for the Euro …-Dollar exchange rate, with each step sharpening the focus on extracting more specific measures of crash risk around dates of ECB … without precisely describing what exactly they entail does not move asset markets or actually increases crash risk. Also …

The aim of this paper is twofold: to investigate how the information content of implied volatility varies according to … moneyness and option type and to compare option-based forecasts with historical volatility. The different information content of …-minute interval. It was found that the information content of implied volatility has a humped shape, with out-of-the-money options …

three popular stochastic volatility models (Heston, 1993; Bates, 1996; Heston and Nandi, 2'007, in addition to the …

We evaluate the ability of different asset pricing models to explain the flows into VIX ETPs with long volatility … exposure. We find no evidence supporting that investors consider systematic risk when they evaluate VIX ETP performance …

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

at capturing the so-called volatility risk premium. We compare the performance across different strikes and maturities … other premia related to the profile of the volatility surface, e.g. the skew and the term structure. In this first paper we …