studies indicating that options prices or implied volatilities predict stock returns. We find that stock-implied volatility …We examine whether stock-level options information drives mutual fund performance. Our paper is motivated by existing … with favorable information outperform other funds. In addition, mutual fund managers overall do not trade on past options …

I investigate the information content in the implied volatility spread (IVS), which is the spread in implied … volatilities between a pair of call and put options. I find that even volatilities implied from untraded options contain … information about future stock performance. The trading strategy based on the information contained in the actively traded options …

of disaster realization. The model accounts for the level and volatility of U.S. equity returns and generates …