Anticipating jumps: Decomposition of straddle price
提出一种将跨式期权分解为波动率风险资产和跳跃风险资产的新方法，并构建前瞻性指标S-jump来捕捉期权市场预期的股价跳跃风险。该指标在盈余公告前显著上升，能预测盈余引发的股价跳跃大小和概率，并放大盈余反应系数。
We develop a novel method to decompose a straddle into two assets: a volatility risk asset and a jump risk asset. Using the price ratio of the jump risk asset to the straddle, we create a forward-looking measure (S-jump) that captures the stock price jump risk anticipated by the option market. We show that S-jump substantially increases before earnings announcements and strongly predicts the size and the probability of earnings-induced stock price jumps. We also find that S-jump amplifies the earnings response coefficient. Our jump risk asset captures the run-up and run-down return patterns observed for straddles around earnings announcements.