A smiling bear in the equity options market and the cross‐section of stock returns
提出期权隐含波动率曲线的凸度指标IV convexity，作为前瞻性的风险中性尾部风险度量，发现美国个股期权数据中高低凸度组合月收益差超过1%，表明知情期权交易对价格发现的影响。
Abstract We propose a measure for the convexity of an option‐implied volatility curve, IV convexity , as a forward‐looking measure of risk‐neutral tail‐risk contribution to the perceived variance of underlying equity returns. Using equity options data for individual US‐listed stocks during 2000–2013, we find that the average realized return differential between the lowest and highest IV convexity quintile portfolios exceeds 1% per month, which is both economically and statistically significant on a risk‐adjusted basis. Our empirical findings indicate the contribution of informed options trading to price discovery in terms of the realization of tail‐risk aversion in the stock market.