The asymmetry in day and night option returns: Evidence from an emerging market
研究发现印度Nifty期权市场存在日夜间收益不对称：隔夜期权收益显著为正，日内收益为负，且这种不对称在跳跃日减弱，表明期权卖方获得的方差风险溢价主要来自隔夜风险。
Abstract Delta‐hedged option selling strategies typically yield positive returns, owing to the volatility risk premium embedded in the option price. Recent research based on S&P 500 options has found a day–night asymmetry in option returns. We find a similar disparity in the returns for short Nifty option strategies. Positive and significant overnight option returns are accompanied by negative intraday returns. The day–night asymmetry is robust across option categories and subsamples but weaker on days with significant jumps in the underlying. We confirm that the variance risk premium earned by option sellers is mainly a reward for overnight risk.