discovery. We document that out-of-themoney (OTM) option prices, which determine the Risk-Neutral Skewness (RNS) of the … underlying stock return's distribution, can embed positive information regarding the underlying stock. A long-only portfolio of … risk. These findings are consistent with a trading mechanism where investors choose to exploit perceived stock underpricing …

We use a series of different approaches to extract information about crash risk from option prices for the Euro …-Dollar exchange rate, with each step sharpening the focus on extracting more specific measures of crash risk around dates of ECB … without precisely describing what exactly they entail does not move asset markets or actually increases crash risk. Also …

This article explores the role of the realized return distribution in the formation of the observed implied volatility … of future events, through which options are priced, by incorporating information from the underlying asset traded in the … distribution in the formation of the implied volatility smile …

asset price evolves with on jumps. The difficulty in deriving implied information from fractional Brownian market is due to … the fact that both Hurst exponent and volatility are unobservable. So they can be derived as a whole from single … different maturities is suggested to solve this problem. We also make a comparison between volatility in classical Brownian …

A key issue in understanding option pricing is the response of option implied volatility to macro …-economic announcements. We use high frequency data on ASX SPI 200 Index Options to examine the response of option implied volatility, as well … beliefs and preferences affect option implied volatility through the state price density function …

benefit most from increasing stock volatility. Our evidence strongly supports theories of noise trader risk …, and future realized stock return volatility. The relation implies a profitable option trading strategy of purchasing high … return of 2.36% and is uncorrelated with common risk factors as well as the firm level variance risk premium. Examination of …

yields and negative volatility risk premia. This study proposes a hedging strategy for volatility as an asset class that …The challenge in long volatility strategies is to minimize the cost of carrying such insurance due to negative roll …) timely hedging strategy removes the extreme negative tail risk and reduces the negative skewness in exchange for slightly …

commodity prices and regime-switching in the commodity returns volatility. After a closed-form solution for the option value in …

investors to trade their volatility expectations. With high-resolution option data, we analyze the volatility information … to transmitting price and volatility information. Looking at the options separately, our study suggests that slightly out …-of-the-money put options contain more volatility information than either at-the-money put or call options …

the underlying asset. Adopting three alternative approaches to compile the variables representing the information on the … implied volatility index level and term structure, we show the important role of the term structure in determining future … excess returns of the S&P 500 index. Both the in-sample and out-of-sample analyses suggest that the information content of …