Option-Implied Volatility Measures and Stock Return Predictability
نویسندگان
چکیده
منابع مشابه
Implied volatility skews and stock return skewness and kurtosis implied by stock option prices
The Black–Scholes* option pricing model is commonly applied to value a wide range of option contracts. However, the model often inconsistently prices deep in-the-money and deep out-of-the-money options. Options professionals refer to this well-known phenomenon as a volatility ‘skew’ or ‘smile’. In this paper, we examine an extension of the Black–Scholes model developed by Corrado and Su‡ that s...
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I study the cross-section of realized stock option returns and find an economically important source of predictability in the cross-sectional distribution of implied volatility. A zero-cost trading strategy that is long in straddles with a large positive forecast of the change in implied volatility and short in straddles with a large negative forecast produces an economically important and stat...
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ژورنال
عنوان ژورنال: The Journal of Derivatives
سال: 2016
ISSN: 1074-1240,2168-8524
DOI: 10.3905/jod.2016.24.1.058