discovery. We document that out-of-themoney (OTM) option prices, which determine the Risk-Neutral Skewness (RNS) of the … underlying stock return's distribution, can embed positive information regarding the underlying stock. A long-only portfolio of … risk. These findings are consistent with a trading mechanism where investors choose to exploit perceived stock underpricing …

We develop a measure of how information events impact investors' perceptions of risk that is broadly applicable and … simultaneously conveys information on the announcer's expected future cash flows and risk profile. We empirically implement the … evidence on the transmission, measurement, and implications of risk information …

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 …

We investigate the pricing of risk-neutral skewness in the stock options market by creating skewness assets comprised … exposure to changes in the price of the underlying stock (delta), and exposure to changes in implied volatility (vega) are … removed, isolating the effect of skewness. We find a strong negative relation between implied risk-neutral skewness and the …

We investigate the pricing of risk-neutral skewness in the stock options market by creating skewness assets comprised … exposure to changes in the underlying stock price (delta), and exposure to changes in implied volatility (vega) are removed …, isolating the effect of skewness. We find a strong negative relation between risk-neutral skewness and the skewness asset …

to jumps in the underlying price. By contrast, volatility risk plays a smaller role close to maturity. Our results imply …' risk characteristics. Specifically, options' convexity risk increases sharply close to maturity, making them more sensitive … the cycle, while investors wishing to protect against downside risk should use back-month options to reduce hedging costs …

model-free and risk-neutral, derived from available option data. Depending on its particular definition, each index …

This paper presents direct evidence that option price quotes do not contain any information about future stock prices …

We propose two new risk measures (i-beta and i-gamma) for a stock, which aim to distinguish between noise and … information. Noise allows the stock price evolution to happen along a continuous path. Market wide economic information is … development of an exact closed-form non-parametric jump risk estimator that boosts the “signal-to-noise” ratio by utilizing co …

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 …