long-short portfolios of equity options even after accounting for transaction costs. Although option-based characteristics …

results show, however, that our results can be explained by the hedging costs of market makers who are net long in options on … some underlyings and net short in options on other underlyings. Our empirical findings are robust with respect to the …

uses only current prices of plain-vanilla options. In an out-of-sample study we show that a minimum-variance strategy based …

-looking information from the options market and can be used to construct an implied estimator of the covariance, co-skewness, and co …

The volatility information content of stock options for individual firms is measured using option prices for 149 U …, but the option forecasts are nearly always more informative for those firms that have the more actively traded options …. When the prediction horizon extends until the expiry date of the options, the option forecasts are more informative than …