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 …

return, such as volatility or skewness, and exploits her private information by trading a complete menu of options. The … exploit higher order moment information, such as the volatility straddle …

of absolute log returns, which is a typical measure of volatility, for each period. We find that (i) the tail of the …