Uncovering the Asymmetric Information Content of High-Frequency Options

We propose option realized semivariances and signed jumps which can be seen as new "observable quantities'' to summarize the asymmetric information contained in the sign of high-frequency options returns. We show that these measures successfully capture the direction of the discontinuities related to the underlying asset and risk factor, resulting in additional incremental information neither contained in the aggregate option realized measures nor in other end-of-day stock and options data. In specific, using options data on SPDR S&P 500 ETF (SPY) and 15 individual equities, we find that the negative (positive) semivariance and signed jump of out-of-the-money call (put) options play a prominent role in predicting future variance, variance risk-premia, and excess monthly returns