Uncovering the Asymmetric Information Content of High-Frequency Options
提出期权已实现半方差和符号跳跃作为新指标，捕捉高频期权回报符号中的不对称信息，发现虚值看涨/看跌期权的负/正半方差和符号跳跃能预测未来方差、方差风险溢价和月度超额收益，基于这些指标的波动率择时策略每年为风险厌恶投资者带来高达206个基点的经济收益。
<div> We propose option realized semivariances and signed jumps as new “observable&nbsp;<span>quantities” to summarize the asymmetric information contained in the sign of high-frequency&nbsp;</span><span>option returns. These measures successfully capture the direction of the&nbsp;</span><span>discontinuities related to both the underlying asset and risk factor, yielding incremental&nbsp;</span><span>information not contained in the aggregate option realized measures. Using options&nbsp;</span><span>data on S&amp;P 500 ETF (SPY) and 15 individual equities, we document that the negative&nbsp;</span><span>(positive) semivariance and signed jump of out-of-the-money call (put) options play a&nbsp;</span><span>prominent role in predicting future variance, variance risk-premia, and excess monthly&nbsp;</span><span>returns. Out-of-sample volatility timing strategies based on these measures generate&nbsp;</span><span>economically significant gains of up to 206 basis points annually for risk-averse investors.</span> </div>