Liquidity Risk and Expected Option Returns

2016 ◽  
Author(s):  
Siu-Kai Choy ◽  
Jason Zhanshun Wei
Keyword(s):  
Liquidity Risk ◽  
Option Returns ◽  
Expected Option Returns

Liquidity risk and expected option returns

2020 ◽  
Vol 111 ◽  
pp. 105700
Author(s):  
Siu Kai Choy ◽  
Jason Wei
Keyword(s):  
Liquidity Risk ◽  
Option Returns ◽  
Expected Option Returns

scholarly journals Expected Option Returns

2001 ◽  
Vol 56 (3) ◽  
pp. 983-1009 ◽  
Author(s):  
Joshua D. Coval ◽  
Tyler Shumway
Keyword(s):  
Option Returns ◽  
Expected Option Returns

Volatility and Expected Option Returns

2019 ◽  
Vol 55 (3) ◽  
pp. 1025-1060 ◽  
Author(s):  
Guanglian Hu ◽  
Kris Jacobs
Keyword(s):  
Stock Returns ◽  
Expected Return ◽  
Cross Sectional ◽  
Stock Volatility ◽  
Option Returns ◽  
Put Option ◽  
Expected Stock Returns ◽  
Alternative Measures ◽  
Expected Option Returns ◽  
Equity Option

We analyze the relation between expected option returns and the volatility of the underlying securities. The expected return from holding a call (put) option is a decreasing (increasing) function of the volatility of the underlying. These predictions are supported by the data. In the cross section of equity option returns, returns on call (put) option portfolios decrease (increase) with underlying stock volatility. This finding is not due to cross-sectional variation in expected stock returns. It holds in various option samples with different maturities and moneyness, and is robust to alternative measures of underlying volatility and different weighting methods.

Expected option returns during the post-GFC era

2020 ◽  
Vol 49 (2) ◽  
pp. 118-131
Author(s):  
Cheng Yan ◽  
Xiaoli Wu
Keyword(s):  
Option Returns ◽  
Expected Option Returns

Expected Option Returns

1999 ◽  
Author(s):  
Tyler Shumway ◽  
Joshua D. Coval
Keyword(s):  
Option Returns ◽  
Expected Option Returns

Order Flow and Expected Option Returns

2016 ◽  
Vol 71 (2) ◽  
pp. 673-708 ◽  
Author(s):  
DMITRIY MURAVYEV
Keyword(s):  
Order Flow ◽  
Option Returns ◽  
Expected Option Returns
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