Volatility Term Structure and the Cross-Section of Option Returns

2011 ◽  
Author(s):  
Aurelio Vasquez
Keyword(s):  
Term Structure ◽  
Cross Section ◽  
Option Returns ◽  
The Cross

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.

Consumption Risk and the Cross-Section of Option Returns

2018 ◽  
Author(s):  
Kevin Aretz ◽  
Hening Liu ◽  
Shuwen Yang ◽  
Yuzhao Zhang
Keyword(s):  
Cross Section ◽  
Option Returns ◽  
The Cross ◽  
Consumption Risk

The Determinants of the KOSPI200 Index Option Returns

2016 ◽  
Vol 24 (1) ◽  
pp. 65-96
Author(s):  
Byung Jin Kang
Keyword(s):  
Cross Section ◽  
Global Financial Crisis ◽  
Factor Model ◽  
Related Factor ◽  
Related Factors ◽  
Cross Sectional ◽  
Option Returns ◽  
The Cross ◽  
The Global Financial Crisis ◽  
Index Option

This study examines the effects of crisis-related factors on the returns of KOSPI200 index options using a factor model, which was introduced by Constantinides, Jackwerth and Savov (2013). Three factors incorporating price jumps, changes in volatility, and volatility jumps are considered as the crisis-related factors. With the data for the period from 2004 to 2015, we find followings : First, most of the crisis-related factor premia are statistically significant, and their signs are consistent with those expected. Second, these crisis-related factors contribute to improve the understanding of the cross-sectional variation in KOSPI200 index option returns. Third, the crisis-related factor premia became much more significant after the global financial crisis in 2008. Finally, our empirical findings are robust to whether the long options and the in-the-money options are included in the sample or not, and to whether the factor premia are constrained to equal the corresponding premia estimated from the cross-section of equities.

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