Equity option markets exhibit intense trading activity. We use the variability of option implied volatility spread as a … proxy for the impounding of new information, and changes in the interpretation of existing information, into option prices …. Over the 2006 – 2016 period, we find that the predictive power of option implied volatility spread for future stock returns …

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 … anchoring model are empirically tested and found to be strongly supported with nearly 26 years of options data …

and propose a new nonparametric estimator of the pricing kernel that reflects the information available to investors who …