nature of the answer when the volatility differential is due to the systematic/priced risk. Here the difference in the … direction and magnitude of the net effect depends on the levels of asset beta and volatility and the moneyness and maturity of … nonlinear derivatives, one should pay attention to the source of volatility differential, and the sample range/mix of betas …

We analyze the relation between expected option returns and the volatility of the underlying securities. The expected … return from holding a call (put) option is a decreasing (increasing) function of the volatility of the underlying. These … portfolios decrease (increase) with underlying stock volatility. This finding is not due to cross-sectional variation in expected …

An anchoring-adjusted option pricing model is developed in which the volatility of the underlying stock return is used … as a starting point that gets adjusted upwards to form expectations about call option volatility. I show that the …

-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 …

. Empirically, we estimate jump risk premium from two different measures of the slope of the implied volatility smile. Our results …

In informationally efficient financial markets, option prices and this implied volatility should immediately be … volatility would indicate market inefficiency. Using minute-by-minute data on S&P 500 index options, we provide evidence … regarding delayed and gradual movements in implied volatility after the arrival of return jumps. These movements are directed …