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Option-implied information and predictability of extreme returns

Vilkovz, Grigory; Xiaox, Yan - 2013 - This version: January 28, 2013

We study whether prices of traded options contain information about future extreme market events. Our option-implied conditional expectation of market loss due to tail events, or tail loss measure, predicts future market returns, magnitude, and probability of the market crashes, beyond and above...

Persistent link: https://www.econbiz.de/10010226098

The term structure of systematic and idiosyncratic risk

Hollstein, Fabian; Prokopczuk, Marcel; Wese Simen, Chardin - 2017

We study the term structure of variance (total risk), systematic and idiosyncratic risk. Consistent with the expectations hypothesis, we find that, for the entire market, the slope of the term structure of variance is mainly informative about the path of future variance. Thus, there is little...

Persistent link: https://www.econbiz.de/10011751173

Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio Returns?

Bali, Turan G. - 2012

exposure to changes in the price of the underlying stock (delta), and exposure to changes in implied volatility (vega) are …-known market, size, book-to-market, momentum, and short-term reversal factors. Additional volatility, stock, and option market …

Persistent link: https://www.econbiz.de/10013111682

Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio Returns?

Bali, Turan G. - 2013

exposure to changes in the underlying stock price (delta), and exposure to changes in implied volatility (vega) are removed …-to-market, momentum, short-term reversal, volatility, or option market factors …

Persistent link: https://www.econbiz.de/10013094978

Risk-adjusted option-implied moments

Brinkmann, Felix; Korn, Olaf - 2014

Option-implied moments, like implied volatility, contain useful information about an underlying asset's return …

Persistent link: https://www.econbiz.de/10010399367

Predicting the equity market with option implied variables

Prokopczuk, Marcel; Tharann, Björn; Wese Simen, Chardin - 2017

We comprehensively analyze the predictive power of several option implied variables for monthly S & P 500 excess returns and realized variance. The correlation risk premium (CRP) emerges as a strong predictor of both excess returns and realized variance. This is true both in- and out-of-sample....

Persistent link: https://www.econbiz.de/10011751188

Asset Class Jumps

Marshall, Ben R. - 2018

We consider the frequency and correlation of extreme return observations or “jumps” across equities, Treasury bonds, corporate bonds, currencies, commodities, and real estate. Understanding more about jumps is important to investors as diversification across asset classes is diminished if...

Persistent link: https://www.econbiz.de/10012933005

The Empirical Performance of Option Implied Volatility Surface-Driven Optimal Portfolios

Guidolin, Massimo; Wang, Kai - 2022

We apply a two-step strategy to forecast the dynamics of the volatility surface implicit in option prices to all …-post volatility of the minimum-variance portfolio is lower when compared with the equal-weighted portfolio and a minimum …

Persistent link: https://www.econbiz.de/10014235957

Asymmetric Volatility Risk : Evidence from Option Markets

Jackwerth, Jens Carsten - 2018

Asymmetric volatility concerns the relation of returns to future expected volatility. Much is known from option prices … about the marginal risk-neutral distributions of S&P 500 returns and of relative changes in future expected volatility (VIX … on long-dated index options. We estimate the risk-neutral asymmetric volatility implied correlation and find it to be …

Persistent link: https://www.econbiz.de/10012938323

Hedging Volatility Risk of Exotic Structures Using Variance Derivatives

Zarov, Iliyan Radev - 2012

volatility jump diffusion model …

Persistent link: https://www.econbiz.de/10013113731