Does Net Buying Pressure Affect the Shape of Implied Volatility Functions?
研究净买入压力如何影响指数和个股期权的隐含波动率函数形状，发现指数期权受看跌期权买入压力主导，个股期权受看涨期权需求主导，且模拟策略能获得异常收益。
ABSTRACT This paper examines the relation between net buying pressure and the shape of the implied volatility function (IVF) for index and individual stock options. We find that changes in implied volatility are directly related to net buying pressure from public order flow. We also find that changes in implied volatility of S&P 500 options are most strongly affected by buying pressure for index puts, while changes in implied volatility of stock options are dominated by call option demand. Simulated delta‐neutral option‐writing trading strategies generate abnormal returns that match the deviations of the IVFs above realized historical return volatilities.