The information content of the S&P 500 index and VIX options on the dynamics of the S&P 500 index
研究了标普500指数期权和VIX期权在预测指数未来收益、波动率和密度方面的信息作用，发现VIX期权能显著提升预测效果。
Given that both S&P 500 index and VIX options essentially contain information about the future dynamics of the S&P 500 index, in this study, we set out to empirically investigate the informational roles played by these two option markets with regard to the prediction of returns, volatility, and density in the S&P 500 index. Our results reveal that the information content implied from these two option markets is not identical. In addition to the information extracted from the S&P 500 index options, all of the predictions for the S&P 500 index are significantly improved by the information recovered from the VIX options. Our findings are robust to various measures of realized volatility and methods of density evaluation. © 2011 Wiley Periodicals, Inc. Jrl Fut Mark