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The Only Constant Is Change : Non-constant Volatility and Implied Volatility Spreads
Campbell, T. Colin; Gallmeyer, Michael F.; Petkevich, Alex - 2022
We examine the predictability of stock returns using implied volatility spreads (VS) from individual (non-index) options. Volatility spreads can occur under simple no-arbitrage conditions for American options when volatility is time-varying, suggesting that the VS-return predictability could be...
Persistent link: https://www.econbiz.de/10014236536
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The only constant is change : nonconstant volatility and implied volatility spreads
Campbell, T. Colin; Gallmeyer, Michael F.; Petkevich, Alex - In: Journal of financial and quantitative analysis : JFQA 58 (2023) 5, pp. 2190-2227
Persistent link: https://www.econbiz.de/10014365179
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Striking up with the in crowd : when option markets and insiders agree
Gilstrap, Collin; Petkevich, Alex; Teterin, Pavel - In: Journal of banking & finance 120 (2020), pp. 1-22
Persistent link: https://www.econbiz.de/10012521489
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Internet Appendix to the Only Constant is Change : Non-Constant Volatility and Implied Volatility Spreads
Campbell, T. Colin; Gallmeyer, Michael F.; Petkevich, Alex - 2023
We examine the predictability of stock returns using implied volatility spreads (VS) from individual (non-index) options. Volatility spreads can occur under simple no-arbitrage conditions for American options when volatility is time-varying, suggesting that the VS-return predictability could be...
Persistent link: https://www.econbiz.de/10014254172