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

slope of option implied volatility smile. This implies a negative predictive relation between the slope of implied … volatility smile and stock return, which is strongly supported by the empirical evidence. For over 4,000 stocks ranked by slope … for stock characteristics like size, book-to-market, leverage, volatility, skewness, and volume. Furthermore, the results …

. We find that our implied volatility (IV) sentiment measure, jointly derived from index and single stock options, explains …

-neutral density. An implied volatility (IV) sentiment measure that is jointly derived from index and single stock options explains …

to hedge jump risks, but not volatility risks. The effect of ESG performance is more prominent during the periods when …

Aggregate implied volatility spread (IVS), defined as the cross-sectional average difference in the implied …

We propose model-free (nonparametric) estimators of the volatility of volatility and leverage effect using high … characteristic function of the price increment until the options’ expiration and we use these estimates to recover spot volatility …. Our volatility of volatility estimator is then formed from the sample variance and first-order autocovariance of the spot …

volatility and other characteristics. Across stocks, trading costs are unrelated to the magnitude of momentum profits …

distance of their implied volatility from the historical volatility, we obtain portfolios with positive average monthly returns …