Volatility and jump risk in option returns

2020 ◽  
Vol 40 (11) ◽  
pp. 1767-1792
Author(s):  
Biao Guo ◽  
Hai Lin
Keyword(s):  
Jump Risk ◽  
Option Returns

Equity Volatility Term Structures and the Cross Section of Option Returns

2017 ◽  
Vol 52 (6) ◽  
pp. 2727-2754 ◽  
Author(s):  
Aurelio Vasquez
Keyword(s):  
Term Structure ◽  
Cross Section ◽  
Implied Volatility ◽  
Higher Order ◽  
Jump Risk ◽  
Option Returns ◽  
Term Structures ◽  
Order Option ◽  
The Cross

The slope of the implied volatility term structure is positively related to future option returns. I rank firms based on the slope of the volatility term structure and analyze the returns for straddle portfolios. Straddle portfolios with high slopes of the volatility term structure outperform straddle portfolios with low slopes by an economically and statistically significant amount. The results are robust to different empirical setups and are not explained by traditional factors, higher-order option factors, or jump risk.

The Puzzle of Index Option Returns

CFA Digest ◽  
2014 ◽  
Vol 44 (6) ◽  
Author(s):  
Brindha Gunasingham
Keyword(s):  
Option Returns ◽  
Index Option

Jumps in Interest Rates and Pricing of Jump Risk - Evidence from the Eurodollar Market

2008 ◽  
Author(s):  
Peter Feldhütter ◽  
Anders B. Trolle ◽  
Paul Georg Schneider
Keyword(s):  
Interest Rates ◽  
Jump Risk

Option Returns and Disagreement Risk

2008 ◽  
Author(s):  
Andrea Buraschi ◽  
Fabio Trojani ◽  
Andrea Vedolin
Keyword(s):  
Option Returns
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