Aggregate implied volatility spread (IVS), defined as the cross-sectional average difference in the implied … volatilities of at-the-money call and put equity options, is significantly and positively related to future stock market returns at …. The return predictability concentrates around macro news announcement. Common informed trading in equity options offers an …

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 …