Expected Option Returns
在主流资产定价理论下分析预期期权收益，发现看涨期权收益高于标的资产且随行权价上升，看跌期权收益低于无风险利率且随行权价上升。S&P指数期权数据验证了这些特征，但零贝塔平价跨式组合每周平均亏损约3%，表明系统性随机波动率等因素被定价。
ABSTRACT This paper examines expected option returns in the context of mainstream asset‐pricing theory. Under mild assumptions, expected call returns exceed those of the underlying security and increase with the strike price. Likewise, expected put returns are below the risk‐free rate and increase with the strike price. S&P index option returns consistently exhibit these characteristics. Under stronger assumptions, expected option returns vary linearly with option betas. However, zero‐beta, at‐the‐money straddle positions produce average losses of approximately three percent per week. This suggests that some additional factor, such as systematic stochastic volatility, is priced in option returns.