Options-based systemic risk, financial distress, and macroeconomic downturns
从看跌期权价格中提取系统性期权风险价值（SOVaR），比传统指标更早预警系统性风险积累，并能预测未来一年内的经济衰退。
We extract an option-implied measure for systemic risk, the Systemic Options Value-at-Risk (SOVaR), from put option prices that can capture the buildup stage of systemic risk in the financial sector earlier than the standard systemic risk measures (SRMs). Our measure exhibits more timely early warning signals of main events around the global financial crisis than the main SRMs. SOVaR shows significant predictive power for macroeconomic downturns as well as future recessions up to one year ahead. Our results are robust to various specifications, breakdowns of financial sectors, and controlling for other main risk measures proposed in the literature.