We dissect the impact of information contained for future asset returns in the implied volatility skew. Future returns are linked to the discrepancy between call and put volatilities of at-the-money options and to the left side of the volatility skew, calculated as the difference between...

Recent work has considered whether information is simultaneously reflected in both option and equity markets. We provide new evidence supporting Black's (1975) conjecture that information is first revealed in option markets. Specifically, changes in call and put open interest levels have...

This study examined the impact on future asset returns of information contained in the implied volatility skew. Future returns are linked to the discrepancy between call and put volatilities of at-the-money options and to the left side of the volatility skew, calculated as the difference between...

A landmark decision (Murphy v. NCAA) by the Supreme Court of the United States (SCOTUS) in 2018 ruled the federal government could not prohibit states from allowing sports wagering. While the implications of this decision are far reaching at both an industry and societal level, our study...

Home field advantage has been a commonly accepted assumption in sports. How much of this advantage is due to the home team’s supporters’ physical attendance at the game where they might encourage their team, intimidate the opponent, and influence game officials? We utilize the unique natural...

Traveling across multiple time zones, especially from east-to-west so that hours are “lost”, has documented negative effects on athletic performance. Nichols (2012) finds mixed evidence that sports betting markets fail to account for these effects. We reconsider, for the 2005-2010 NFL...