This study delves into the critical aspect of accurately estimating single stock volatility surfaces, a task indispensable for option pricing, risk management, and empirical asset pricing. Utilizing a comprehensive dataset consisting of half a billion daily price observations for options on 499...

We find that option-implied information such as forward-looking variance, skewness and the variance risk premium are sensitive to the way the volatility surface is constructed. For some state-of-the-art volatility surfaces, the differences are economically surprisingly large and lead to...