Exploring Return Dynamics via Corridor Implied Volatility
利用逐笔期权报价构建新的“走廊波动率”指数作为短期波动率的可观测代理，发现股指波动率跳跃常见且对称分布，并与标的回报共同跳跃，且回报-波动率不对称性比普遍认知更显著。
Some fundamental questions regarding equity-index return dynamics are difficult to address due to the latent character of spot volatility. We exploit tick-by-tick option quotes to compute a novel “Corridor Volatility” index which may serve as an observable proxy for short-term volatility. Exploiting this index, we find that equity-index volatility jumps are common, symmetrically distributed, and cojump with the underlying returns. Moreover, the return-volatility asymmetry is more pronounced than is generally recognized and is in force for both diffusive and jump innovations in volatility. Finally, the index performs admirably during turbulent market conditions, constituting a useful real-time gauge of market stress.