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 …

We present a new method to measure the intraday relationship between movements of implied volatility smiles and stock … evolution of volatility smiles is generally not consistent with traders' rules of thumb such as the sticky strike or sticky … delta rule. On average, the impact of index return on implied volatility is 1.3 to 1.5 times stronger than the sticky strike …

The option implied volatility spread and skew predict stock returns. These variables also reflect the expected cost of … stock returns; however, the volatility spread and skew do not once this implied fee is considered. Results are similar for a … yet in stock prices. These findings indicate that the volatility spread and skew predict returns because they proxy for …

slope of option implied volatility smile. This implies a negative predictive relation between the slope of implied … volatility smile and stock return, which is strongly supported by the empirical evidence. For over 4,000 stocks ranked by slope … for stock characteristics like size, book-to-market, leverage, volatility, skewness, and volume. Furthermore, the results …

Aggregate implied volatility spread (IVS), defined as the cross-sectional average difference in the implied …