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

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 …

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

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 …

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 …