Trading volatility spreads: a test of index option market efficiency
发现标普100和标普500指数期权隐含波动率价差存在均值回归特性，通过交易该价差在扣除交易成本后仍能获得显著利润，表明两个期权市场并非联合有效。
If returns on two assets share common volatility components, the prices of options on the assets should be interdependent and the implied volatility spread should mean revert. We first demonstrate, using the canonical correlation method, that there is a common component in the volatilities of the returns on S&P 100 and S&P 500 indices. We then exploit this commonality by trading on the volatility spread between tick‐by‐tick OEX and SPX call options listed on the CBOE. Our vega‐delta‐neutral strategies generated significant profits, even after transaction costs are taken into account. The results suggest that the two options markets are not jointly efficient.