uncertainty. The results dictate the role of uncertainty and volatility in structural models and we show they are consistent with …

This paper provides evidence that demand for equity index options has predictive power for future volatility beyond … current, lagged volatility and the VIX in widely available, low-frequency data. The predictive power increases prior to … that trade on the volatility informed index option demand yield annualized Sharpe Ratios that are up to twice as large as …