Exploring Currency Risk Factors via Corridor Implied Volatility and Its Term Structures

2020 ◽  
Author(s):  
Jingyi Ren
Keyword(s):  
Risk Factors ◽  
Implied Volatility ◽  
Currency Risk ◽  
Term Structures

scholarly journals Currency Risk Factors in a Recursive Multicountry Economy

2018 ◽  
Vol 73 (6) ◽  
pp. 2719-2756 ◽  
Author(s):  
RIC COLACITO ◽  
MARIANO M. CROCE ◽  
FEDERICO GAVAZZONI ◽  
ROBERT READY
Keyword(s):  
Risk Factors ◽  
Currency Risk

Option-implied volatility spillover indices for FX risk factors

2017 ◽  
Vol 157 ◽  
pp. 83-87 ◽  
Author(s):  
Klaus Grobys ◽  
Jari-Pekka Heinonen
Keyword(s):  
Risk Factors ◽  
Implied Volatility ◽  
Volatility Spillover

scholarly journals Understanding Foreign Exchange Option Returns: The Information Content Of Volatility

2016 ◽  
Vol 32 (2) ◽  
pp. 439
Author(s):  
Lamya Kermiche ◽  
Philippe Dupuy
Keyword(s):  
Risk Factors ◽  
Foreign Exchange ◽  
Implied Volatility ◽  
Additional Risk ◽  
Rational Agents ◽  
Option Returns ◽  
Asset Pricing Theory ◽  
Pricing Theory ◽  
Traditional Paradigm ◽  
Exchange Options

According to general asset pricing theory, options should reward their holders for the systematic risk they are bearing. In this paper, we study the returns of foreign exchange options. We find that, by sorting options according to the distance of their implied volatility from the historical volatility, we obtain portfolios with positive average monthly returns. These returns are not explained by standard aggregate risk factors, which suggest either that additional risk factors should be accounted for, or that investors behavior differs from the traditional paradigm of rational agents.

scholarly journals Currency Risk Factors in a Recursive Multi-Country Economy

2014 ◽  
Author(s):  
Riccardo Colacito ◽  
Mariano Massimiliano Croce ◽  
Federico Gavazzoni ◽  
Robert C. Ready
Keyword(s):  
Risk Factors ◽  
Currency Risk

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.

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