Prior literature shows that the implied volatility spread between call and put options is a bullish signal for future … returns on the underlying stocks. A common interpretation is that a high call-put implied volatility spread indicates … volatility spread is a strong bearish signal for future returns on out-of-the-money call options. Using unique data on daily …

-ante measures of volatility, skewness, and kurtosis implied from stock option prices are positively related to the cross section of … volatility, only the unsystematic components of skewness and kurtosis are related to the cross section of expected stock returns …

Speculators who wish to bet on higher future volatility often purchase options to “go long volatility.” Should … investors who buy options expect to profit when realized volatility increases? If so, under what conditions? To answer these … questions, we conduct an analysis of the relationship between long volatility performance (buying options) and contemporaneous …

prices and volatility, which are underrepresented in empirical data. This paper uses option price data collected during the … persists in periods with adverse outcomes of jump and volatility risk. To this end, this paper uses S&P 500, DAX, and EURO …

This paper investigates the intertemporal relation between volatility spreads and expected returns on the aggregate … stock market. We provide evidence for a signi ficantly negative link between volatility spreads and expected returns at the … extreme values. The intertemporal relation remains strongly negative after controlling for conditional volatility, variance …

Equity option markets exhibit intense trading activity. We use the variability of option implied volatility spread as a …. Over the 2006 – 2016 period, we find that the predictive power of option implied volatility spread for future stock returns … is significantly greater when implied volatility spread has been more variable in the past. Our results are statistically …

We present a new method to measure the intraday relationship between movements of implied volatility smiles and stock … evolution of volatility smiles is generally not consistent with traders' rules of thumb such as the sticky strike or sticky … delta rule. On average, the impact of index return on implied volatility is 1.3 to 1.5 times stronger than the sticky strike …

Conventional financial theory considers ex-ante that risk, generally measured by the volatility, has to be …

We use learning in an equilibrium model to explain the puzzling predictive power of the volatility risk premium (VRP …

The option implied volatility spread and skew predict stock returns. These variables also reflect the expected cost of … stock returns; however, the volatility spread and skew do not once this implied fee is considered. Results are similar for a … yet in stock prices. These findings indicate that the volatility spread and skew predict returns because they proxy for …