Short‐Term Market Risks Implied by Weekly Options
研究了周度S&P 500指数期权，发现其负跳尾风险的变化无法由市场波动率解释，并能预测未来股票收益，有助于识别市场恐慌期。
ABSTRACT We study short‐maturity (“weekly”) S&P 500 index options, which provide a direct way to analyze volatility and jump risks. Unlike longer‐dated options, they are largely insensitive to the risk of intertemporal shifts in the economic environment. Adopting a novel seminonparametric approach, we uncover variation in the negative jump tail risk, which is not spanned by market volatility and helps predict future equity returns. As such, our approach allows for easy identification of periods of heightened concerns about negative tail events that are not always “signaled” by the level of market volatility and elude standard asset pricing models.