Given that both S&P 500 index and VIX options essentially contain information on the future dynamics of the S&P 500 index, in this study, we set out to empirically investigate the informational roles played by these two option markets with regard to the prediction of returns, volatility and...

While numerous prior studies report that call–put implied volatility spreads positively predict future stock returns, recent literature shows that the predictive relation is negative for future call option returns. We investigate whether and, if so, how the predictive relation for options...