We propose a measure for the convexity of an option-implied volatility curve, IV convexity, as a forward-looking measure of excess tail-risk contribution to the perceived variance of underlying equity returns. Using equity options data for individual U.S.-listed stocks during 2000-2013, we find...

In recent years there has been a remarkable growth of volatility options. In particular, VIX options are among the most actively trading contracts at CBOE. These options exhibit upward sloping volatility skew and the shape of the skew is largely independent of the volatility level. To take into...

We study the predictive power of option-implied moment risk premia embedded in theconventional variance risk premium. We find that while the second moment risk premiumpredicts market returns in short horizons with positive coefficients, the third (fourth)moment risk premium predicts market...

We study whether option-implied conditional expectation of market loss due to tail events, or tail loss measure, contains information about future returns, especially the negative ones. Our tail loss measure predicts future market returns, magnitude, and probability of the market crashes, beyond...

In an empirical study of Standard & Poor's 500 index options, this paper analyses the predictability of future market excess returns by means of decomposed higher-moment risk premiums. The study proposes a new measure of kurtosis risk premium and suggests a decomposition of higher-moment risk...

This paper provides an empirical study on the predictability of implied volatility using dataset collected from the London over-the-counter currency option market. The present work is motivated by the lack of empirical studies that address implied volatility characteristics across various...