We propose a measure for the convexity of an option-implied volatility curve, IV convexity, as a forward-looking measure of excess tail-risk contribution to the perceived variance of underlying equity returns. Using equity options data for individual U.S.-listed stocks during 2000-2013, we find that the average return differential between the lowest and highest IV convexity quintile portfolios exceeds 1% per month, which is both economically and statistically significant on a risk-adjusted basis. Our empirical findings indicate that informed options traders anticipating heavier tail risk proactively induce leptokurtic implied distributions of underlying stock returns before equity investors express their tail-risk aversion.
Keywords: Implied volatility, Convexity, Equity options, Stock returns, Predictability
JEL classification: G12; G13; G14
학회소식
[2016년 제 2차] A Smiling Bear in the Equity Options Market and the
작성자 : 관리자
조회수 : 1038
게시일 :
2016-06-03
