rollover dates. Index providers are careful in choosing their roll methods in order to minimize volatility and maximize the … respective continuous futures series. We compare roll methodologies to see whether they have similar volatility and efficiency …

most useful for improving their out-of-sample performance. Portfolio performance is measured in terms of volatility, Sharpe … ratio, and turnover. Our empirical evidence shows that using option-implied volatility helps to reduce portfolio volatility …. Using option-implied correlation does not improve any of the metrics. Using option-implied volatility, risk-premium, and …

We propose a Multivariate Volatility Regulated Kelly strategy, which has extra penalization on variance compared to the …

Asymmetric volatility concerns the relation of returns to future expected volatility. Much is known from option prices … about the marginal risk-neutral distributions of S&P 500 returns and of relative changes in future expected volatility (VIX … on long-dated index options. We estimate the risk-neutral asymmetric volatility implied correlation and find it to be …

We provide evidence that an option implied volatility-based measure predicts future absolute excess returns of the … return volatility shortly before these information events, and the volatility of excess stock returns around these two events …, and also trade on the expected volatility. In addition, we show that net straddle returns (after transaction costs) around …