Information Content of Aggregate Implied Volatility Spread
研究发现，总隐含波动率价差（看涨与看跌平价期权的隐含波动率均值差）能显著正向预测未来股票市场回报，且预测能力在宏观新闻发布时集中，对宏观经济也有预测力。
Aggregate implied volatility spread (IVS), defined as the cross-sectional average difference in the implied volatilities of at-the-money call and put equity options, is significantly and positively related to future stock market returns at daily, weekly, and monthly to semiannual horizons. This return predictive power is incremental to existing return predictors, and it is significant both in sample and out of sample. Furthermore, IVS can forecast macroeconomic news up to one year ahead. The return predictability concentrates around macro news announcement. Common informed trading in equity options offers an integrated explanation for the ability of IVS to predict both future stock market returns and real economic activity. This paper was accepted by Tyler Shumway, finance.