Term spreads of implied volatility smirk and variance risk premium
研究了标普500指数期权隐含波动率曲线的形态，发现其水平因子的期限价差能显著预测方差风险溢价，对跨式期权和方差互换收益均有预测能力。
Abstract In this paper, we study the pattern of S&P 500 index options implied volatility (IV) curves and their predictive ability for the variance risk premium (VRP). We explore this predictability employing by the Zhang and Xiang IV factor estimation. We show that the level factor term spread significantly predicts the VRP, proxied by straddle returns and variance swap returns, in both in‐sample and out‐of‐sample tests. The predictability is more pronounced for straddle returns rather than variance swap returns.