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 …

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 …

amplified in periods of high volatility; and (3) in recent years dealers have increasingly offloaded inventory during Asian …

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

We investigate the informational content of credit default swap (CDS) spreads for future volatility of (firm) assets … and equity. In the cross-section, CDS spreads are significantly more informative about future asset than equity volatility … fundamental difference in the cross-sectional predictability of asset and equity volatility. This difference lies in the leverage …

The slope of the implied volatility term structure is positively related to future option returns. We rank firms based … on the slope of the volatility term structure and analyze the returns for straddle portfolios. Straddle portfolios with … high slopes of the volatility term structure outperform straddle portfolios with low slopes by an economically and …

exposure to changes in the underlying stock price (delta), and exposure to changes in implied volatility (vega) are removed …-to-market, momentum, short-term reversal, volatility, or option market factors …