The informational content of implied volatility
检验隐含波动率是否优于历史波动率预测未来波动率，发现对于S&P 100指数期权，隐含波动率与未来实现波动率几乎无相关，且未包含近期波动率信息。
Implied volatility is widely believed to be informationally superior to historical volatility, because it is the “market’s” forecast of future volatility. But for S&P 100 index options, the most actively traded contract in the United States, we find implied volatility to be a poor forecast of subsequent realized volatility. In aggregate and across subsamples separated by maturity and strike price, implied volatility has virtually no correlation with future volatility, and it does not incorporate the information contained in recent observed volatility.