The aim of this paper is twofold: to investigate how the information content of implied volatility varies according to … moneyness and option type and to compare option-based forecasts with historical volatility. The different information content of … implied volatility is examined for the most liquid at-the-money and out-of-the-money options: put (call) options for strikes …

An anchoring-adjusted option pricing model is developed in which the volatility of the underlying stock return is used … as a starting point that gets adjusted upwards to form expectations about call option volatility. I show that the …