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 …

options from 1995 to 2011, we show that, on average, about 99% of the intraday variation of implied volatility can be …We present a new method to measure the intraday relationship between movements of implied volatility smiles and stock … been reported in the literature. Using transaction data for exchange-traded EuroStoxx 50 options from 2000 to 2011 and DAX …

The option implied volatility spread and skew predict stock returns. These variables also reflect the expected cost of … borrowing stock to sell short. The stock borrowing fee implied from options prices predicts changes in quoted borrowing fees and … stock returns; however, the volatility spread and skew do not once this implied fee is considered. Results are similar for a …

We find strong evidence that net insider selling is positively associated with future stock return volatility … significantly stronger when the volatility is measured around the earnings announcement. Apparently, option prices do not fully … reflect the information content of insider trading for future volatility. More specifically, we find no evidence that option …

We present a new method to measure the intraday relationship between movements of implied volatility smiles and stock … EuroStoxx 50 options from 2000 to 2011 and DAX options from 1995 to 2011 (14 million transactions), we find that the intraday … evolution of volatility smiles is generally not consistent with traders' rules of thumb such as the sticky strike or sticky …

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 …

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 …