Equity Volatility Term Structures and the Cross Section of Option Returns
研究发现隐含波动率期限结构的斜率与未来期权收益正相关，基于斜率构建的跨式组合多空策略可获得显著超额收益，且不能被传统因子或跳跃风险解释。
The slope of the implied volatility term structure is positively related to future option returns. I rank firms based on the slope of the volatility term structure and analyze the returns for straddle portfolios. Straddle portfolios with high slopes of the volatility term structure outperform straddle portfolios with low slopes by an economically and statistically significant amount. The results are robust to different empirical setups and are not explained by traditional factors, higher-order option factors, or jump risk.