In this paper, we explore the relation between information uncertainty and S&P 500 index option returns. Since … recursive preference, it is priced and is able to explain variance premium and cross-section index option returns. In order to … and has better performance to explain cross-section index option returns than traditional symmetric risk factors such as …

2017 for 25 US-traded commodities, we find a statistically significant increase in comovement among non-energy index …-commodities. This increase is only temporary. In contrast, no change in comovement is observed for off-index commodities over the entire … the results. Such comovement ‘index effect' is in line with the predictions of theoretical models of the financialization …