Market Maker Inventory, Bid–Ask Spreads, and the Computation of Option Implied Risk Measures
研究发现期权隐含风险度量受买卖价差影响显著，卖价对冲击更敏感导致价差分布高度偏斜；通过估计做市商模型校正报价后，发现基于中间报价会高估市场事件相关的恐惧和风险溢价，但低估尾部事件风险。
Abstract We present empirical evidence showing that option-implied risk measures (OIRMs) are substantially impacted by bid–ask spreads in underlying options. Asking prices are more sensitive to shocks than bids, leading to highly skewed distributions of spreads. We derive and estimate a model of market making that empirically matches these asymmetric responses as well as the time-series properties of bid–ask spreads. Using these estimates to obtain bias-corrected option quotes, we compute several popular OIRMs. We find that fear and risk premia associated with market events that affect the center of the return distribution or unpredictable return jumps are on average overstated when relying on option mid-quotes, whereas risk associated with return-tail events is larger once the bias has been corrected.