The information content of option‐implied tail risk on the future returns of the underlying asset
基于极值理论从深度虚值期权中提取尾部损失和收益指标，发现标普500和VIX期权的尾部指标能预测标的资产未来变化，尤其在衰退期预测力更强，且由尾部风险溢价驱动。
We compile option‐implied tail loss and gain measures based on a deep out‐of‐the‐money option pricing formula derived by applying “extreme value theory,” and then use these measures to investigate the information content of option‐implied tail risk on the future returns of the underlying assets. Our empirical analysis shows that both tail measures implied by S&P 500 and VIX options can predict future changes in the corresponding underlying assets and are informative on the future returns of the S&P 500 index. The relationships are particularly strong during periods of economic recession and driven by the tail‐risk premium.