The Informational Content of Implied Volatility
检验了隐含波动率能否预测未来实际波动率，发现对于美国最活跃的S&P 100指数期权，隐含波动率几乎与未来波动率无关，且未包含近期历史波动率的信息。
Implied volatility is widely believed to be informationally superior to historical volatility, because it is the “market’s” forecast of future volatility. But for S&P 100 index options, the most actively traded contract in the United States, we find implied volatility to be a poor forecast of subsequent realized volatility. In aggregate and across subsamples separated by maturity and strike price, implied volatility has virtually no correlation with future volatility, and it does not incorporate the information contained in recent observed volatility.