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 …

In recent years there has been a remarkable growth of volatility options. In particular, VIX options are among the most … actively trading contracts at CBOE. These options exhibit upward sloping volatility skew and the shape of the skew is largely … independent of the volatility level. To take into account these stylized facts, this article introduces a novel two …

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 …