Call-Put Implied Volatility Spreads and Option Returns
研究发现隐含波动率价差与未来虚值看涨期权收益负相关，并利用期权成交量数据揭示不同投资者类型（机构与散户）的需求分别驱动了股票收益和期权收益的可预测性。
Prior literature shows that implied volatility spreads between call and put options are positively related to future underlying stock returns. In this paper, however, we demonstrate that the volatility spreads are negatively related to future out-of-the-money call option returns. Using unique data on option volumes, we reconcile the two pieces of evidence by showing that option demand by sophisticated, firm investors drives the positive stock return predictability based on volatility spreads, while demand by less sophisticated, customer investors drives the negative call option return predictability. Overall, our evidence suggests that volatility spreads contain information about both firm fundamentals and option mispricing.