Using three option market measures, we find evidence from 28 countries/regions that the COVID-19-induced uncertainty is priced in the index exchange-traded funds (ETF) options market. Specifically, options that provide protection to hedge against price risk, variance risk, and tail risk...

In this paper, we study the skewness risk and its return predictability in the energy market. Skewness risk is often used to measure the possibility of market crash. We study both physical skewness (market skewness and cross-sectional average realized skewness) estimated from underlying stock...