According to general asset pricing theory, options should reward their holders for the systematic risk they are bearing …. In this paper, we study the returns of foreign exchange options. We find that, by sorting options according to the … distance of their implied volatility from the historical volatility, we obtain portfolios with positive average monthly returns …

Prior literature shows that the implied volatility spread between call and put options is a bullish signal for future … volatility spread is a strong bearish signal for future returns on out-of-the-money call options. Using unique data on daily … options by less sophisticated, customer investors drives the negative relationship between volatility spreads and future call …

at-the-money straddles on individual equities. It finds that options with high historical returns continue to … significantly outperform options with low historical returns over horizons ranging from 6 to 36 months. This phenomenon is robust to … including out-of-the-money options or delta-hedging the returns. Unlike stock momentum, option return continuation is not …

has higher implied volatility. We have found that the 3 month call and put options Lamda contracts are overpriced relative …In this article, we estimate Lamda in matlab to calculate the leverage return of 3 months call and put options implied … volatility by comparing the theoretical price with the market price of a Danish investment bank. There is significant time …

different S&P 500 stocks. We find that stock options with high historical returns continue to outperform options with low …