Overreactions in the Options Market
利用标普100指数期权数据，发现长期期权隐含波动率对短期期权隐含波动率变化的反应弹性大于理性预期理论预测值，即存在过度反应。
ABSTRACT This paper examines the “term structure” of options' implied volatilities, using data on S&P 100 index options. Because implied volatility is strongly mean reverting, the implied volatility on a longer maturity option should move by less than one percent in response to a one percent move in the implied volatility of a shorter maturity option. Empirically, this elasticity turns out to be larger than suggested by rational expectations theory—long‐maturity options tend to “overreact” to changes in the implied volatility of short‐maturity options.