This study reexamines the determinants of volatility spreads and suggests a new forecast of future volatilities …. Contrary to earlier volatility forecasts, the newly introduced forecast is applicable when investors are not risk-neutral or … the presence of risk premia for other risks such as volatility risk. Using S&P 500 index options, we show that the new …

Britten-Jones and Neuberger (2000) derived a model-free implied volatility under the diffusion assumption. In this … article, we extend their model-free implied volatility to asset price processes with jumps and develop a simple method for … market using the model-free implied volatility. Our results from the Standard & Poor's 500 index (SPX) options suggest that …

regard to the prediction of returns, volatility and density in the S&P 500 index. Our results reveal that the information … VIX options. Our findings are robust to various measures of realized volatility and methods of density evaluation …

distance of their implied volatility from the historical volatility, we obtain portfolios with positive average monthly returns …

We investigate the impact of information trading on predicting variation of implied volatility. First, we find that … informed traders do trade in the index options market. The predicting biases of implied volatilities on the realized volatility … with the predicting variations in implied volatilities. Moreover, the difference between realized and implied volatility …

explaining the information content of options trading for future stock returns. Using implied volatility skew to capture the …