This paper provides evidence that demand for equity index options has predictive power for future volatility beyond … current, lagged volatility and the VIX in widely available, low-frequency data. The predictive power increases prior to … that trade on the volatility informed index option demand yield annualized Sharpe Ratios that are up to twice as large as …

We investigate the impact of information trading on predicting variation of implied volatility. First, we find that … informed traders do trade in the index options market. The predicting biases of implied volatilities on the realized volatility … with the predicting variations in implied volatilities. Moreover, the difference between realized and implied volatility …

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 …

between catastrophe risk and the implied volatility smile of insurance stock options. We find that the slope is significantly …

contracts and from zero to 40% between 2011 and 2022. We study how 0DTE option trading affects the volatility of the underlying … asset. We find that more 0DTE options trading increases the volatility of the underlying asset. An increase of one standard … approximately 13.64% increase in the 5-minute volatility of the underlying asset on the same day …

Sudden big price changes are followed by periods of high and persistent volatility. I develop a tractable dynamic … trading process. Both mechanisms operate simultaneously to generate high and persistent volatility. The resulting information …